Dynamic Dependence and Hedging of Stock Markets: Evidence From Time-Varying Copula With Asymmetric Markovian Models
To study the asymmetric jump behaviors of the stock markets, we propose a novel
autoregressive conditional jump intensity (ARJI)—generalized autoregressive conditional …
autoregressive conditional jump intensity (ARJI)—generalized autoregressive conditional …
Credit risk contagion in complex companies network–Empirical research based on listed agricultural companies
W Zhang, J Wang - Economic Analysis and Policy, 2024 - Elsevier
This study investigates credit risk contagion among listed agricultural companies using data
from China's A-share market from 2002 to 2021, examining credit risk contagion …
from China's A-share market from 2002 to 2021, examining credit risk contagion …
Compounding Money and Nominal Price Illusions
We develop a general equilibrium model in which investors simultaneously experience
money and nominal price illusions. We show that the combined effects of these illusions …
money and nominal price illusions. We show that the combined effects of these illusions …