Tail event driven networks of SIFIs-Reference-Cited by-同舟云学术

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Tail event driven networks of SIFIs

Published:2019-01 Issue:1 Volume:208 Page:282-298
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Chen Cathy Yi-Hsuan,Härdle Wolfgang Karl,Okhrin Yarema

Funder

German Research Foundation (DFG)

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference25 articles.

1. CoVaR;Adrian;Amer. Econ. Rev.,2016

2. A First Course in Order Statistics;Arnold,1992

3. Barigozzi, M., Brownlees, C.T., 2015. NETS: Network Estimation for Time Series, Manuscript.

4. Systemic risk in an interconnected banking system with endogenous asset markets;Bluhm;J. Financ. Stability,2014

5. Statistics of Financial Markets;Borak,2013

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