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Faculty of Busines and Mana...
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FAN Gangzhi
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Chen Peimin
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Empirical evidence of risk contagion across regional housing markets in China
Journal article
Economic Modelling,2022, volume: 115
Authors:
Hu, Genhua
;
Fan, Gangzhi
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View/Download：8/0
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Submit date：2022/09/05
China housing Markets
Market risk
Risk contagion
Tail dependence
Urban agglomerations
DCC-GARCH model for market and firm-level dynamic correlation in S&P 500
Book chapter
出自: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, Singapore:World Scientific Publishing, 2020, pages: 4421-4440
Authors:
Chen, Peimin
;
Wu, Chunchi
;
Zhang, Ying
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View/Download：3/0
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Submit date：2025/03/25
Contagion
DCC-MVGARCH
Dynamic conditional correlation
Multivariate GARCH
Risk management
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