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Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network
This paper investigates the systemic risk spillovers and connectedness in the sectoral tail risk network of Chinese stock market, and explores the transmission mechanism of systemic risk spillovers by block models. Based on conditional value at risk (CoVaR) and single index model (SIM) quantile regr...
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| Publicado no: | The North American Journal of Economics and Finance |
|---|---|
| Main Authors: | , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Elsevier Inc.
2020
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7341982/ https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.najef.2020.101248 |
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