How risk spillover network structure affects VaR : a study using complex networks and quantile regression
Year of publication: |
2025
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Authors: | Xi, Xian ; Gao, Xiangyun ; Zhong, Weiqiong |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 98.2025, Art.-No. 103956, p. 1-11
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Subject: | Complex network | DCC-GARCH | Mining stock market | Quantile regression | Risk spillover | Spillover-Effekt | Spillover effect | Theorie | Theory | Regressionsanalyse | Regression analysis | Netzwerk | Network | Komplexe Systeme | Complex systems | Risiko | Risk | Volatilität | Volatility | Risikomanagement | Risk management | Soziales Netzwerk | Social network |
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