GARCH copula quantile regression model for risk spillover analysis

Maoxi Tian and Hao Ji

Finance Research Letters, 2022, vol. 44, issue C

Abstract: To assess risk spillovers, this paper proposes a new GARCH copula quantile regression-based CoVaR model in which the nonlinear tail dependence is allowed to change with risk levels. Based on MSCI index daily data, we investigate the risk spillovers from four financial markets to the financial system of developed market. We find that Germany displays the largest risk spillovers, followed by France, the US and the UK, and that the risk spillovers are much larger during the COVID-19 pandemic than during the periods of the financial crisis and sovereign debt crisis.

Keywords: Systemic risk spillover; CoVaR; Copula quantile regression model; GARCH copula model (search for similar items in EconPapers)
JEL-codes: C51 G11 G18 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001859

DOI: 10.1016/j.frl.2021.102104

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