Does the risk spillover in global financial markets intensify during major public health emergencies? Evidence from the COVID-19 crisis
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DOI: 10.1016/j.pacfin.2024.102272
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- Zongfeng Zou & Chao Zhang & Judong Li, 2025. "Identifying Higher-Order Moment Risk Contagion Between the US Dollar Exchange Rate and China’s Major Asset Classes," Mathematics, MDPI, vol. 13(5), pages 1-16, February.
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More about this item
Keywords
Major public health emergencies; Global financial risk spillover network; Covid-19; Government response;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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