The comovements of tail risks in time and frequency domains: evidence from US and emerging Asian stock markets
Boubekeur Baba
Abstract:The study applies the wavelet local multiple correlations to investigate the level of comovements among the tail risks of US and emerging Asian stock markets in both time and frequency domains. Through this empirical investigation, we address the question of how the transmission of tail risk across the concerned stock markets is changing over specific timescales, varying from short term to long term. Empirical results from the multivariate time–frequency correlations show that the comovements of tail risks are… Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.