Risk Spillover between the US and the Remaining G 7 Stock Markets Using Time-Varying Copulas with Markov Switching : Evidence from Over a Century of Data

Abstract

This paper analyses the risk spillover effect between the US stock market and the remaining G7 stock markets by measuring the conditional Value-at-Risk (CoVaR) using time-varying copula models with Markov switching and data that covers more than 100 years. The main results suggest that the dependence structure varies with time and has distinct high and low… (More)

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