Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives
Author:
Funder
Institut Teknologi Bandung
Publisher
Elsevier BV
Subject
General Energy,Economics and Econometrics
Reference69 articles.
1. CoVaR;Adrian;Am. Econ. Rev,2016
2. Clean energy indices and brown assets: an analysis of tail risk spillovers through the VAR for VaR model;Angelini;J. Sustain. Finance Invest.,2022
3. Stress testing and systemic risk measures using elliptical conditional multivariate probabilities;Aste;J. Risk. Financ. Manag.,2021
4. Risk management with expectiles;Bellini;Eur. J. Finance,2017
5. Generalized quantiles as risk measures;Bellini;Insurance. Math. Econom.,2014
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