Tail event driven networks of SIFIs

DOI10.1016/j.jeconom.2018.09.016zbMath1452.62749OpenAlexW2605327718WikidataQ129099025 ScholiaQ129099025MaRDI QIDQ1739652

Yarema Okhrin, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2017-004.pdf

zbMATH Keywords

network analysissystemic risktail eventnetwork autoregression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (7)

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Uses Software

• quantilogram

Cites Work

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• TENET: tail-event driven network risk
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Statistics of financial markets. Exercises and solutions
• Robust penalized quantile regression estimation for panel data
• Quantile regression for dynamic panel data with fixed effects
• Quantile regression for longitudinal data
• Network vector autoregression
• Conditional copula simulation for systemic risk stress testing
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Financial Network Systemic Risk Contributions

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