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Research on China's financial systemic risk contagion under jump and heavy-tailed risk

  • Published:2020-11 Issue: Volume:72 Page:101584
  • ISSN:1057-5219
  • Container-title:International Review of Financial Analysis
  • language:en
  • Short-container-title:International Review of Financial Analysis

Author:

Gong Xiao-Li,Liu Xi-Hua,Xiong Xiong,Zhang Wei

Funder

National Natural Science Foundation of China

Shandong Social Science Planning Project

Shandong Key Research Project of Financial Application

Qingdao Social Science Planning Research Project

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference40 articles.

1. Capital shortfall: A new approach to ranking and regulating systemic risks;Acharya;American Economic Review,2012

2. Spillover effects among financial institutions: A state-dependent sensitivity value-at-risk approach;Adams;Journal of Financial and Quantitative Analysis,2014

3. CoVaR;Adrian;American Economic Review,2016

4. A critique of the contingent claims approach to sovereign risk analysis;Aktug;Emerging Markets Finance and Trade,2014

5. A panic attack on unit roots and cointegration;Bai;Econometrica,2004

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