Identifying systemic important markets from a global perspective : using the ADCC [delta]CoVaR approach with skewed-t distribution
Libing Fang, Baizhu Chen, Honghai Yu, Yichuo Qian
| Year of publication: |
March 2018
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|---|---|
| Authors: | Fang, Libing ; Chen, Baizhu ; Yu, Honghai ; Qian, Yichuo |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 24.2018, p. 137-144
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| Subject: | ADCC | CoVaR | Global financial crisis | Systemic risk contribution | Finanzkrise | Financial crisis | Welt | World | Systemrisiko | Systemic risk | Messung | Measurement | Finanzmarkt | Financial market | Internationaler Finanzmarkt | International financial market | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2017.08.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011982527