Measuring network systemic risk contributions: a leave-one-out approach

DOI10.1016/j.jedc.2018.12.001zbMath1411.91642MaRDI QIDQ1734536

Yannick Lucotte, Sullivan Hué, Sessi Tokpavi

Publication date: 27 March 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://data.leo-univ-orleans.fr/media/search-works/2708/dr201810.pdf

zbMATH Keywords

Granger causality; leave-one-out; systemic risk; interconnectedness; financial networks; spurious causalities

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G99: Actuarial science and mathematical finance

Uses Software

• quantilogram

Cites Work

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