کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5063017 | 1476667 | 2017 | 48 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The kidnapping of Europe: High-order moments' transmission between developed and emerging markets
ترجمه فارسی عنوان
آدم ربایی اروپا: انتقال لحظات عالی بین بازارهای توسعه یافته و در حال ظهور
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
چکیده انگلیسی
The paper proposes a semi-nonparametric methodology consistent with dynamic conditional correlations and high-order moments to jointly estimate transmissions in volatility, skewness and kurtosis in highly volatile scenarios among developed and emerging markets. As a by-product of the SNP-VSK model, we measure co-movements between conditional correlations and high-order moments, and tail dependence. Our results depict European markets as full receivers and North American and Asia-Pacific as transmitters of high-order moments' risk. The analyses also indicate that conditional correlation is positively correlated to volatility and kurtosis and negatively correlated to skewness, and that conditional kurtosis between markets is high and positive.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Emerging Markets Review - Volume 31, June 2017, Pages 96-115
Journal: Emerging Markets Review - Volume 31, June 2017, Pages 96-115
نویسندگان
Esther B. Del Brio, Andrés Mora-Valencia, Javier Perote,