Multiscale Financial Risk Contagion between International Stock Markets: Evidence from EMD-Copula-CoVaR Analysis

2021 ◽  
pp. 101512
Author(s):  
Changqing Luo ◽  
Lan Liu ◽  
Da Wang
Keyword(s):  
Stock Markets ◽  
Financial Risk ◽  
International Stock Markets

Pemodelan Data Time Series Garch(1,1) Untuk Pasar Saham Indonesia

2015 ◽  
Vol 11 (1) ◽  
pp. 13
Author(s):  
Elfa Rafulta ◽  
Roni Tri Putra
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Markets ◽  
Financial Data ◽  
International Stock Markets

This paper introduced a method pengklusteran for financial data. By using the model Heteroskidastity Generalized autoregressive conditional (GARCH), will be estimated distance between the stock market using GARCH-based distance. The purpose of this method is mengkluster international stock markets with different amounts of data.

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