Sovereign Risk Contagion in East Asia: A Mixture of Time-Varying Copulas Approach
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DOI: 10.1080/1540496x.2018.1445989
Abstract: ABSTRACT This study analyzes sovereign risk contagion between four East Asian economies (China, Hong Kong, Japan, and Korea) and its structural changes through the Global Financial Crisis (GFC) and the European Debt Crisis (EDC) by… read more here.
Keywords: dependence; sovereign risk; mixture time; contagion ... See more keywords