Fed-driven systemic tail risk : high-frequency measurement, evidence and implications
Deniz Erdemlioglu, Christopher J. Neely, and Xiye Yang
| Alternative title: | Systemic tail risk |
|---|---|
| Year of publication: |
[2025]
|
| Authors: | Erdemlioglu, Deniz ; Neely, Christopher J. ; Yang, Xiye |
| Publisher: |
St. Louis, MO : Federal Reserve Bank of St. Louis, Research Division |
| Subject: | Time-varying tail risk | High-frequency data | FOMC news | Monetary policy announcements | Cojumps | Systemic risk | Jump intensity | Geldpolitik | Monetary policy | Ankündigungseffekt | Announcement effect | Volatilität | Volatility | Systemrisiko | Börsenkurs | Share price | Finanzkrise | Financial crisis | Risiko | Risk | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Politische Kommunikation | Political communication | Schätzung | Estimation | Finanzmarkt | Financial market |
| Extent: | 1 Online-Ressource (circa 49 Seiten) Illustrationen |
|---|---|
| Series: | Working paper. - Saint Louis, Mo., ZDB-ID 2135914-3. - Vol. 2023, 016C (May 2025) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper |
| Language: | English |
| Notes: | Erste Ausgabe vom July 2023 unter dem Titel Systemic tail risk: high-frequency measurement, evidence and implications Abweichender Titel: Multi-Asset Systemic Tail Risk |
| Other identifiers: | 10.20955/wp.2023.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014320683