Tail event driven networks of SIFIs

DOI10.1016/j.jeconom.2018.09.016zbMath1452.62749MaRDI 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 analysis; systemic risk; tail event; network autoregression

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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

91G45: Financial networks (including contagion, systemic risk, regulation)

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Uses Software

• quantilogram

Cites Work

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