Inference on dynamic systemic risk measures

DOI10.1016/J.JECONOM.2024.105936MaRDI QIDQ7011722zbMATH OpenFDO

Authors C. Francq, Jean-Michel Zakoïan

Publication date 18 March 2025

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

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105936

zbMATH Keywords

CoVaRdelta-CoVaRmarginal expected shortfallmultivariate risksresidual bootstrap

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(1)

• Monitoring joint tail risks: an application to growth and inflation

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