Granger causality in risk and detection of extreme risk spillover between financial markets

DOI10.1016/j.jeconom.2008.12.013zbMath1429.62670OpenAlexW2261558790MaRDI QIDQ302200

Yongmiao Hong, Yanhui Liu, Shou-Yang Wang

Publication date: 4 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.013

zbMATH Keywords

nonlinear time seriesrisk managementvalue at riskfinancial contagioncross-spectrumextreme downside riskGranger causality in risk

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (15)

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Uses Software

• CAViaR

Cites Work

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