An assessment of contagion risks in the banking system using non-parametric and Copula approaches
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DOI: 10.1016/j.eap.2019.11.007
Abstract: This study endeavours to shed some light on the Contagion risk in the Vietnamese banking system. In so doing, we analyse the contagion risk through stock returns on listed commercial banks by employing non-parametric and… read more here.
Keywords: banking system; copula approaches; parametric copula; contagion ... See more keywords