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Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model
The world is still recovering from the financial crisis peaking in September 2008. The triggering event was the bankruptcy of Lehman Brothers. To detect such turmoils, one can investigate the time-dependent behaviour of correlations between assets or indices. These cross-correlations have been conne...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2016
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4924827/ https://www.ncbi.nlm.nih.gov/pubmed/27351482 http://dx.doi.org/10.1371/journal.pone.0158444 |