Chargement en cours...
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...
Enregistré dans:
| Publié dans: | The North American Journal of Economics and Finance |
|---|---|
| Auteurs principaux: | , , , |
| Format: | Artigo |
| Langue: | Inglês |
| Publié: |
Elsevier Inc.
2020
|
| Sujets: | |
| Accès en ligne: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7341982/ https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.najef.2020.101248 |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|