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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2021
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| 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 |