Tail event driven networks of SIFIs

DOI10.1016/j.jeconom.2018.09.016zbMath1452.62749OpenAlexW2605327718MaRDI QIDQ1739652

Yarema Okhrin, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2017-004.pdf

zbMATH Keywords

network analysissystemic risktail eventnetwork autoregression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items

Lasso-driven inference in time and space, Likelihood theory for the graph Ornstein-Uhlenbeck process, SONIC: social network analysis with influencers and communities, Editorial for the special issue on financial engineering and risk management for JoE, Online network monitoring, Network quantile autoregression, Financial risk meter FRM based on expectiles

Uses Software

• quantilogram

Cites Work

• Unnamed Item
• Unnamed Item
• TENET: tail-event driven network risk
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Statistics of financial markets. Exercises and solutions
• Robust penalized quantile regression estimation for panel data
• Quantile regression for dynamic panel data with fixed effects
• Quantile regression for longitudinal data
• Network vector autoregression
• Conditional copula simulation for systemic risk stress testing
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Financial Network Systemic Risk Contributions