Systemic risk in Chinese financial industries: a vine copula grouped CoVaR approach
Author:
Affiliation:
1. School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou, China
2. Collaborative Innovation Center of Statistical Data Engineering, Technology & Application, Zhejiang Gongshang University, Hangzhou, China
Funder
Zhejiang Provincial Natural Science Foundation of China
the Humanities and Social Sciences of Ministry of Education Planning Fund
the National Natural Science Foundation of China
Foundation of Zhejiang Educational Committee
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/1331677X.2021.1977673
Reference30 articles.
1. CoVaR
2. Copula based hierarchical risk aggregation through sample reordering
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2. Measurement and Forecasting of Systemic Risk: A Vine Copula Grouped-CoES Approach;Mathematics;2024-04-19
3. How does bubble risk propagate among financial assets? A perspective from the BSADF-vine copula model;International Review of Economics & Finance;2023-11
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