Measuring network systemic risk contributions: a leave-one-out approach

DOI10.1016/j.jedc.2018.12.001zbMath1411.91642OpenAlexW2904230216WikidataQ128752374 ScholiaQ128752374MaRDI QIDQ1734536

Yannick Lucotte, Sullivan Hué, Sessi Tokpavi

Publication date: 27 March 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://data.leo-univ-orleans.fr/media/search-works/2708/dr201810.pdf

zbMATH Keywords

Granger causalityleave-one-outsystemic riskinterconnectednessfinancial networksspurious causalities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Uses Software

• quantilogram

Cites Work

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