Characterizing financial crises using high-frequency data

DOI10.1080/14697688.2022.2027504zbMATH Open1491.91157OpenAlexW4211037474MaRDI QIDQ5079366FDOQ5079366

Jet Holloway, Mardi Dungey, Wenying Yao, Abdullah Yalaman

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2027504

zbMATH Keywords

tail behaviorhigh-frequency datafinancial crisisUS Treasury markets

Mathematics Subject Classification ID

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

Cites Work

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