Granger causality in risk and detection of extreme risk spillover between financial markets
DOI10.1016/J.JECONOM.2008.12.013zbMATH Open1429.62670OpenAlexW2261558790MaRDI QIDQ302200FDOQ302200
Authors: Yongmiao Hong, Yanhui Liu, Shouyang 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
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nonlinear time seriesvalue at riskrisk managementfinancial contagioncross-spectrumextreme downside riskGranger causality in risk
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cited In (18)
- Measuring network systemic risk contributions: a leave-one-out approach
- Granger causality using Jacobian in neural networks
- Granger causality test in quantiles and conditional VaR estimation of continuously rising and falling returns
- A Projection-Based Nonparametric Test of Conditional Quantile Independence
- Portfolio rebalancing model using multiple criteria
- On the equivalence between the kinetic Ising model and discrete autoregressive processes
- Testing for Granger-causality in quantiles
- Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
- A consistent nonparametric test for causality in quantile
- Multilayer information spillover networks: measuring interconnectedness of financial institutions
- Examining interconnectedness between media attention and cryptocurrency markets: a transfer entropy story
- Extreme risk spillover network: application to financial institutions
- A practical multivariate approach to testing volatility spillover
- Persistence-robust surplus-lag Granger causality testing
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- Unveiling the relation between herding and liquidity with trader lead-lag networks
- Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain
- New nonparametric measures for instantaneous and granger-causality tail co-dependence
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