TENET: Tail-Event driven NETwork risk

Authors

Keywords

Systemic risk, Systemic risk network, Generalized quantile, Quantile single-index regression, Value at risk, CoVaR, Lasso

Journal

JOURNAL OF ECONOMETRICS

Volume 192, Issue 2, Pages 499-513

Publisher

Elsevier BV

Online

2016-02-12

DOI

10.1016/j.jeconom.2016.02.013

Ask authors/readers for more resources

Protocol

Community support

Reagent

Community support

Reprint

Contact the author

Publish scientific posters with Peeref

Peeref publishes scientific posters from all research disciplines. Our Diamond Open Access policy means free access to content and no publication fees for authors.

Learn More

Become a Peeref-certified reviewer

The Peeref Institute provides free reviewer training that teaches the core competencies of the academic peer review process.

Get Started