TENET: Tail-Event driven NETwork risk

标题

作者

关键词

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

出版物

Volume 192, Issue 2, Pages 499-513

出版商

Elsevier BV

发表日期

2016-02-12

DOI

10.1016/j.jeconom.2016.02.013

联系作者

Discuss science. Find collaborators. Network.

Join a conversation

Do you already have a recorded webinar? Grow your audience and get more views by easily listing your recording on Peeref.

Upload Now