Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies-Reference-Cited by-同舟云学术

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Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies

Published:2024-07-02 Issue:7 Volume:24 Page:975-992
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Wang Ruting¹,Potì Valerio²,Härdle Wolfgang Karl³⁴⁵⁶⁷

Affiliation:

1. Business School, Sun Yat-sen University, Shenzhen, People's Republic of China

2. Smurfit Graduate Business School, University College Dublin, Dublin, Ireland

3. IRTG 1792, Humboldt-Universität zu Berlin, Berlin, Germany

4. Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, People's Republic of China

5. Sim Kee Boon Institute for Financial Economics, Singapore Management University, Singapore, Singapore

6. Faculty of Mathematics and Physics, Charles University, Prague, Czech Republic

7. Yushan Scholar, National Yang Ming Chiao Tung University, Hsinchu, Taiwan

Funder

FIN-TECH: A Financial supervision and Technology compliance training program

Czech Science Foundation

National Natural Science Foundation of China

China Postdoctoral Science Foundation

Guangdong Basic and Applied Basic Research Foundation

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2024.2370311

Reference43 articles.

1. CoVaR

2. Bayesian Graphical Models for STructural Vector Autoregressive Processes

3. Tail risk measurement in crypto-asset markets

4. A Note on Quantiles in Large Samples

5. Financial Risk Meter for emerging markets

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