Bubbles and dependence between international equity markets

DOI10.1080/14697688.2023.2278508OpenAlexW4388946108MaRDI QIDQ6127412

Unnamed Author, Xiaoquan Liu, Wuyi Ye

Publication date: 12 April 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2023.2278508

zbMATH Keywords

financefinancial crisesMarkov regime-switching modelsdynamic inter-market linkage

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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