Measuring systemic risk contribution of global stock markets : a dynamic tail risk network approach
Ze Wang, Xiangyun Gao, Shupei Huang, Qingru Sun, Zhihua Chen, Renwu Tang, Zengru Di
| Year of publication: |
2022
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|---|---|
| Authors: | Wang, Ze ; Gao, Xiangyun ; Huang, Shupei ; Sun, Qingru ; Chen, Zhihua ; Tang, Renwu ; Di, Zengru |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 84.2022, p. 1-16
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| Subject: | Cascading failure | Systemic risk contribution | Tail risk contagion | Volatility spillover network | CoVaR | Systemrisiko | Systemic risk | Volatilität | Volatility | Finanzkrise | Financial crisis | Risikomaß | Risk measure | Spillover-Effekt | Spillover effect | Risiko | Risk | Welt | World | Ansteckungseffekt | Contagion effect | Bankrisiko | Bank risk | Messung | Measurement | Schätzung | Estimation | Korrelation | Correlation | Unternehmensnetzwerk | Business network | Aktienmarkt | Stock market | Finanzsektor | Financial sector |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102361 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013472796