Tail event driven networks of SIFIs

DOI10.1016/J.JECONOM.2018.09.016MaRDI QIDQ1739652zbMATH OpenOpenAlexWikidataFDO

Authors Cathy Yi-Hsuan Chen, Yarema Okhrin, Wolfgang K. 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)

Recommendations

• TENET: tail-event driven network risk
• Network tail risk estimation in the European banking system
• Network quantile autoregression
• Bayesian tail risk interdependence using quantile regression
• Analysing the systemic risk of Indian banks

Cites work

• scientific article; zbMATH DE number 627762 (Why is no real title available?)
• scientific article; zbMATH DE number 3233336 (Why is no real title available?)
• Conditional copula simulation for systemic risk stress testing
• Financial Network Systemic Risk Contributions
• Network vector autoregression
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Quantile regression for dynamic panel data with fixed effects
• Quantile regression for longitudinal data
• Robust penalized quantile regression estimation for panel data
• Statistics of financial markets. Exercises and solutions
• TENET: tail-event driven network risk
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series

Cited in

(11)

• A Time-Varying Network for Cryptocurrencies
• Editorial for the special issue on financial engineering and risk management for JoE
• TENET: tail-event driven network risk
• Network quantile autoregression
• SONIC: social network analysis with influencers and communities
• Dynamic Network Quantile Regression Model
• Online network monitoring
• Lasso-driven inference in time and space
• Financial risk meter FRM based on expectiles
• The value of systemic unimportance: the case of Metlife
• Likelihood theory for the graph Ornstein-Uhlenbeck process

Describes a project that uses

Uses Software

• quantilogram

This page was built for publication: Tail event driven networks of SIFIs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1739652)