2026-10-15T03:26:34Z https://www.scidb.cn/oai

10.57760/sciencedb.j00214.00056 2024-08-28T10:50:58Z

2024-08-28 Stock Market Interconnection and Tail Risk Spillover Effects doi:10.57760/sciencedb.j00214.00056 en Tail risk estimation results of 10 major global stock markets (Chinese Mainland (CN), Hong Kong (HK), Brazil (BR), India (IN), Russia (RU), Japan (JP), France (FR), Germany (DE), the United Kingdom (UK), the United States (US)) from 1997 to 2022, and DY spillover index method procedure under rolling sample estimation  stock market; tail risk; spillover effect; interconnectedness network; time-varying peak over threshold (POT) model zhong wan ling Li Haiqi PUBLIC https://creativecommons.org/publicdomain/zero/1.0/ dataset Science Data Bank