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• W4225392816 endingPage "127470" @default.
• W4225392816 startingPage "127470" @default.
• W4225392816 abstract "This research focuses on the direct and indirect systemic risk spillovers among East Asian, European, and U.S. stock markets under the COVID-19 pandemic. Based on the GARCH-Copula-CoVaR model, we construct the direct spillover matrix of systemic risk and further explore the indirect spillover path through R-vine. The empirical results first show via the direct path that Hong Kong exhibited the largest change in value of risk after the pandemic erupted. Second, the indirect path is that European and U.S. stock market risks are transmitted to China domestically via Hong Kong and Japan. The key nodes provide reference for risk prevention." @default.
• W4225392816 created "2022-05-05" @default.
• W4225392816 creator A5037709424 @default.
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• W4225392816 date "2022-08-01" @default.
• W4225392816 modified "2023-10-16" @default.
• W4225392816 title "The path of financial risk spillover in the stock market based on the R-vine-Copula model" @default.
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• W4225392816 doi "https://doi.org/10.1016/j.physa.2022.127470" @default.
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