Naeem, Md; Shafiullah, Muhammad; Yousaf, Imran; Karim, … - 2023
This paper scrutinises systemic (tail) risk using a novel method and extensive global dataset. We avail long time-series data from 65 international markets to analyse the connectedness as well as determinants of expected shortfall (up to the 5th percentile). Trans-national tail risk network is...