When one domino falls, others follow : a machine learning analysis of extreme risk spillovers in developed stock markets
Sitara Karim, Muhammad Shafiullah, Muhammad Abubakr Naeem
| Year of publication: |
2024
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| Authors: | Karim, Sitara ; Muhammad Shafiullah ; Naeem, Muhammad Abubakr |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier Science, ISSN 1057-5219, ZDB-ID 2029229-6. - Vol. 93.2024, Art.-No. 103202, p. 1-16
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| Subject: | CoVaR | Extreme risk spillovers | Neural networks | Quantile regression | Tail risk | Neuronale Netze | Risiko | Risk | Spillover-Effekt | Spillover effect | Risikomaß | Risk measure | Risikomanagement | Risk management | Aktienmarkt | Stock market | Volatilität | Volatility | Künstliche Intelligenz | Artificial intelligence | Ausreißer | Outliers | Ansteckungseffekt | Contagion effect | Theorie | Theory | Regressionsanalyse | Regression analysis | Finanzkrise | Financial crisis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2024.103202 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014543472