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Systemic Risk, Contagion, and State-Dependent Sensitivities in Value-at-Risk Estimation: Evidence from Hedge Funds
Gropp, Reint E., (2010)
Spillover effects among financial institutions: A state-dependent sensitivity value-at-risk approach
Adams, Zeno, (2013)
Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
Adams, Zeno, (2014)