The transmission of default risk between banks and countries based on CAViaR models-Reference-Cited by-同舟云学术

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The transmission of default risk between banks and countries based on CAViaR models

Published:2021-03 Issue: Volume:72 Page:500-509
ISSN:1059-0560
Container-title:International Review of Economics & Finance
language:en
Short-container-title:International Review of Economics & Finance

Author:

Peng Wei

Funder

General Humanities and Social Sciences Research Project of Education Ministry

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference25 articles.

1. The “greatest” carry trade ever? Understanding eurozone bank risks;Acharya;Journal of Financial Economics,2015

2. Capital markets union in Europe: Why other unions must lead the way;Acharya;Swiss Journal of Economics and Statistics,2015

3. Energy portfolio risk management using time-varying extreme value copula methods;Ahmed;Economic Modelling,2014

4. The impact of the country debt crisis on the activity of Italian banks;Albertazzi;Journal of Banking & Finance,2014

5. A Gourmet’s delight: CAViaR and the Australian stock market;Allen;Applied Economics Letters,2012

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1. Estimation of value at risk for copper;Journal of Commodity Markets;2023-12

2. Dynamics of systemic risk in European gas and oil markets under the Russia–Ukraine conflict: A quantile regression neural network approach;Energy Reports;2023-12

3. The extreme risk connectedness of the global financial system: G7 and BRICS evidence;Journal of Multinational Financial Management;2023-09

4. Risk measurement of oil price based on Bayesian nonlinear quantile regression model;Alexandria Engineering Journal;2021-12

5. Value-at-risk predictive performance: a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets;Journal of Economics, Finance and Administrative Science;2021-11-24

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