Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches

Shahzad, Syed Jawad Hussain; Nor, Safwan Mohd; Mensi, Walid; Kumar, Ronald Ravinesh

doi:10.1016/j.physa.2016.09.008

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Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches

Author(s): Syed Jawad Hussain Shahzad , Safwan Mohd Nor , Ronald Ravinesh Kumar , Walid Mensi

Publication date Created: January 2017

Publication date (Print): January 2017

Journal: Physica A: Statistical Mechanics and its Applications

Publisher: Elsevier BV

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Title: Physica A: Statistical Mechanics and its Applications

Abbreviated Title: Physica A: Statistical Mechanics and its Applications

Publisher: Elsevier BV

ISSN (Print): 03784371

Publication date Created: January 2017

Publication date (Print): January 2017

Volume: 466

Pages: 310-324

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DOI: 10.1016/j.physa.2016.09.008

SO-VID: 6113e3c5-c655-4167-a09b-79daae087af9

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https://www.elsevier.com/tdm/userlicense/1.0/

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Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches

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