Tail dependence and indicators of systemic risk for large US depositories-Reference-Cited by-同舟云学术

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Tail dependence and indicators of systemic risk for large US depositories

Published:2014-12 Issue: Volume:15 Page:195-209
ISSN:1572-3089
Container-title:Journal of Financial Stability
language:en
Short-container-title:Journal of Financial Stability

Author:

Balla Eliana,Ergen Ibrahim,Migueis Marco

Publisher

Elsevier BV

Subject

General Economics, Econometrics and Finance,Finance

Reference31 articles.

1. Measuring Systemic Risk;Acharya,2010

2. CoVaR;Adrian,2011

3. Globally systemically important banks: Assessment methodology and the additional loss absorbency requirement;Basel Committee,2011

4. Volatility, correlation, and tail for systemic risk measurement;Brownless,2012

5. Econometric measures of connectedness and systemic risk in the finance and insurance sectors;Billio;J. Financ. Econ.,2012

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4. Tail adversarial stability for regularly varying linear processes and their extensions;Extremes;2023-12-13

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