Title:

Spillovers from Stock Markets to Currency Markets: Evidence from Copula-CoVaR with Time-Varying Higher Moments

Authors:

Muhammad Usman (COMSATS Institute of Information Technology, U Islamabad)
Zaghum Umar (U of Economics Ho Chi Minh City, Zayed U)
Mariya Gubareva (U Lisboa)
Dang Khoa Tran (U of Economics Ho Chi Minh City)

Journal:

Applied Economics

Year:

2023

Volume:

55

Number:

52

Pages:

6091-6114

JEL codes:

C58 - Financial Econometrics
G15 - International Financial Markets
O16 - Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance