Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approach-Reference-Cited by-同舟云学术

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Interconnectedness and systemic risk network of Chinese financial institutions: A LASSO-CoVaR approach

Published:2019-11 Issue: Volume:534 Page:122173
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Xu Qifa,Li Mengting,Jiang Cuixia,He Yaoyao

Funder

National Natural Science Foundation of China

Humanity and Social Science Foundation of Ministry of Education of China

Nature Science Foundation in the Universities of Anhui Province

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference46 articles.

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

2. Financial network systemic risk contributions;Hautsch;Rev. Financ.,2015

3. ‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk;Markose;J. Econ. Behav. Organ.,2012

4. Systemic centrality and systemic communities in financial networks;Chan-Lau;Quant. Financ. Econ.,2018

5. Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach;Xu;Pac.-Basin Finance J.,2018

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