Measuring the Systemic Risk of Clean Energy Markets Based on the Dynamic Factor Copula Model
This study is based on the stock returns of 11 subindustry markets in the international clean energy market from 2010 to 2024 and constructs a skewed <i>t</i> distribution dynamic factor copula model. The time-varying load factor is used to characterize the correlation between a single s...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-12-01
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| Series: | Systems |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2079-8954/12/12/584 |
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