Measuring tail risk connectedness with spatial methods

DOI10.1007/978-3-031-64350-7_95MaRDI QIDQ6911138zbMATH OpenFDO

Authors Raffaele Mattera, Javier Sánchez-García

Publication date 27 October 2025

Full work available at URL https://doi.org/10.1007/978-3-031-64350-7_95

zbMATH Keywords

financial market connectednessfinancial stabilitynetworkspatial autoregressive model (SAR)tail risk

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• On the network topology of variance decompositions: measuring the connectedness of financial firms
• One-step estimation of spatial dependence parameters: Properties and extensions of the APLE statistic

This page was built for publication: Measuring tail risk connectedness with spatial methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6911138)