Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network

This paper investigates the systemic risk spillovers and connectedness in the sectoral tail risk network of Chinese stock market, and explores the transmission mechanism of systemic risk spillovers by block models. Based on conditional value at risk (CoVaR) and single index model (SIM) quantile regr...

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Detalles Bibliográficos
Autores principales: Zhang, Weiping, Zhuang, Xintian, Wang, Jian, Lu, Yang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7341982/
http://dx.doi.org/10.1016/j.najef.2020.101248

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7341982/
http://dx.doi.org/10.1016/j.najef.2020.101248

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