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Systematic extreme potential gain and loss spillover across countries
This paper investigates the existence of systematic extreme risks at a multi-country level that leads to gains and losses spillover. A measure of systematic risk that quantifies both the downside risk and the upside potential in the extreme is introduced. This measure is based on the Conditional-Val...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Palgrave Macmillan UK
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9274645/ http://dx.doi.org/10.1057/s41283-022-00097-8 |