Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages (Q2246755)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages |
scientific article |
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Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages (English)
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16 November 2021
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Granger causality in risk
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spillover effects
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financial contagion
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autoregressive processes
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likelihood-ratio test
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0.9116712
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0.8594736
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0.85457635
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0.8333542
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0.8193301
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