Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Asian Economics"
DOI: 10.1016/j.asieco.2020.101200
Abstract: Abstract This study uses a dynamic copula model of dependence to investigate risk spillovers in China’s credit bond market between the bank and corporate sectors for a range of maturities from one week to 30… read more here.
Keywords: credit; risk spillover; bond market; china credit ... See more keywords
How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective
Sign Up to like & getrecommendations! Published in 2019 at "Energy Economics"
DOI: 10.1016/j.eneco.2019.104562
Abstract: Abstract With the integration and financialization of world economy, massive hot money has frequently flowed between crude oil and stock markets, and has brought significant extreme risks and their spillover. For this reason, this paper… read more here.
Keywords: risk spillover; stock markets; stock; time ... See more keywords
The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China
Sign Up to like & getrecommendations! Published in 2021 at "Energy Economics"
DOI: 10.1016/j.eneco.2021.105498
Abstract: Abstract Detecting the adverse effects of major emergencies on financial markets and real economy is of great importance not only for short-term policy reactions but also for economic and financial stability. This is the lesson… read more here.
Keywords: spillover effect; energy; risk spillover; covid ... See more keywords
Dependence and Risk Spillover Effect of China’s Exchange Market
Sign Up to like & getrecommendations! Published in 2019 at "Emerging Markets Finance and Trade"
DOI: 10.1080/1540496x.2019.1699052
Abstract: ABSTRACT This study employs the GARCH-Copula-CoVaR and spillover index models to investigate the dependence and risk spillover effects among China’s financial markets before and after the “811” exchange rate reform. The findings show that the… read more here.
Keywords: risk spillover; exchange; exchange market; market ... See more keywords
Effect of COVID-19 on risk spillover between fintech and traditional financial industries
Sign Up to like & getrecommendations! Published in 2022 at "Frontiers in Public Health"
DOI: 10.3389/fpubh.2022.979808
Abstract: COVID-19 has affected China's financial markets; accordingly, we investigate the effect of COVID-19 on the risk spillover between fintech and traditional financial industries. Using data from April 25, 2012 to April 22, 2022, which we… read more here.
Keywords: risk spillover; spillover fintech; covid; risk ... See more keywords