Measuring systemic risk with high-frequency data : a realized GARCH approach
Qihao Chen, Zhuo Huang, Fang Liang
| Year of publication: |
2023
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|---|---|
| Authors: | Chen, Qihao ; Huang, Zhuo ; Liang, Fang |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 54.2023, p. 1-9
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| Subject: | Systemic risk | CoVaR | Multivariate realized GARCH | Multivariate skew-t distribution | ARCH-Modell | ARCH model | Systemrisiko | Finanzmarkt | Financial market | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | Messung | Measurement | Finanzkrise | Financial crisis | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Risiko | Risk | Schätzung | Estimation | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.103753 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014472723