Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies

DOI10.1080/14697688.2024.2370311MaRDI QIDQ6592295zbMATH OpenFDO

Authors Valerio Potì, Wolfgang K. Härdle

Publication date 26 August 2024

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2024.2370311

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• A new tight and general bound on return predictability
• A Note on Quantiles in Large Samples
• Asset pricing theory.
• Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns
• Financial risk meter FRM based on expectiles
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 3078997 (Why is no real title available?)
• Single-Index-Based CoVaR With Very High-Dimensional Covariates
• TENET: tail-event driven network risk

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