Skewness-based market integration: A systemic risk measure across international equity markets

Author:

Jian Zhihong,Li Xupei

Funder

National Social Science Fund of China

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference71 articles.

1. Measuring systemic risk;Acharya;The Review of Financial Studies,2017

2. CoVaR

3. A new approach to measuring financial contagion;Bae;Review of Financial Studies,2003

4. Which are the SIFIs? A Component Expected Shortfall approach to systemic risk;Banulescu;Journal of Banking & Finance,2015

5. Asymmetric volatility and risk in equity markets;Bekaert;The review of financial studies,2000

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