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International Tail Risk Connectedness: Network and Determinants · Study

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ArticleInternational Tail Risk Connectedness: Network and Determinants

Linh Hoang Nguyen2019

OA

Articlegreen2019

International Tail Risk Connectedness: Network and Determinants

Linh Hoang Nguyen · Brendan John Lambe

29 citations·0/0 files stored·Journal of International Financial Markets Institutions and Money

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1978Specification Tests in Econometrics 1973Risk, Return, and Equilibrium: Empirical Tests 1979Manias, Panics, and Crashes: A History of Financial Crises 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 2016CoVaR 2008A New Measure of Financial Openness 2002Asymmetric correlations of equity portfolios

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2022Dynamic asymmetric connectedness in technological sectors 2023Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks

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Year2019

Typearticle

Published2019-01-01

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations29

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.intfin.2021.101332

openalex_workW3138827730

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