Quantile connectedness : modeling tail behavior in the topology of financial networks
Tomohiro Ando, Matthew Greenwood-Nimmo, Yongcheol Shin
| Year of publication: |
2022
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| Authors: | Ando, Tomohiro ; Greenwood-Nimmo, Matthew ; Shin, Yongcheol |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 68.2022, 4, p. 2401-2431
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| Subject: | financial-sovereign credit risk transmission | network modeling | quantile connectedness | quantile vector autoregression with common factors | tail-dependence | Kreditrisiko | Credit risk | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Netzwerk | Network | Zeitreihenanalyse | Time series analysis |
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