Measuring systemic risk of the US banking sector in time-frequency domain
Petr Teply, Ivana Kvapilikova
| Year of publication: |
November 2017
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|---|---|
| Authors: | Teply, Petr ; Kvapilikova, Ivana |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 42.2017, p. 461-472
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| Subject: | Bank | Conditional value at risk (CoVaR) | DCC GARCH | Tail dependence | US banks | Wavelet analysis | Wavelet Conditional Value at Risk (WCoVaR) | Risikomaß | Risk measure | Systemrisiko | Systemic risk | Bankrisiko | Bank risk | Zustandsraummodell | State space model | ARCH-Modell | ARCH model | Theorie | Theory | Messung | Measurement | Kapitaleinkommen | Capital income | Risiko | Risk | Welt | World | Finanzmarkt | Financial market | Finanzkrise | Financial crisis | Finanzsektor | Financial sector | Schätzung | Estimation | Börsenkurs | Share price | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2017.08.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011938177