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Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory

We propose a new approach to the study of financial contagion and contagion channels in the forex market by using a dynamic mixture copula-extreme value theory (DMC-EVT) model. This method allows us to elucidate the complex and dynamic dependence between forex markets. By analyzing 39 currencies tha...

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Detalles Bibliográficos
Autores principales: Wang, Haiying, Yuan, Ying, Li, Yiou, Wang, Xunhong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7550255/
https://www.ncbi.nlm.nih.gov/pubmed/33071422
http://dx.doi.org/10.1016/j.econmod.2020.10.002