TENET: tail-event driven network risk

DOI10.1016/j.jeconom.2016.02.013zbMath1420.62443OpenAlexW2123423040MaRDI QIDQ281059

Lining Yu, Weining Wang, Wolfgang Karl Härdle

Publication date: 10 May 2016

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/16369/1/tenet%20tail%20event.pdf

zbMATH Keywords

Lassovalue at risksystemic riskCoVaRgeneralized quantilequantile single-index regressionsystemic risk network

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Generalized linear models (logistic models) (62J12)

Related Items

Lasso-driven inference in time and space, Vulnerability-CoVaR: investigating the crypto-market, Covar of families of copulas, Nonconcave penalized estimation in sparse vector autoregression model, A new measure of the resilience for networks of funds with applications to socially responsible investments, A distributed community detection algorithm for large scale networks under stochastic block models, Community network auto-regression for high-dimensional time series, Network Functional Varying Coefficient Model, Identification of systemically important financial institutions in a multiplex financial network: a multi-attribute decision-based approach, Identifying systemically important financial institutions in China: new evidence from a dynamic copula-CoVaR approach, Graphical Assistant Grouped Network Autoregression Model: A Bayesian Nonparametric Recourse, Distributed estimation and inference for spatial autoregression model with large scale networks, Analysing the systemic risk of Indian banks, Measuring network systemic risk contributions: a leave-one-out approach, Tail event driven networks of SIFIs, Portal nodes screening for large scale social networks, Econometric modeling of risk measures: a selective review of the recent literature, A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection, Network quantile autoregression, Financial risk meter FRM based on expectiles, Multilayer information spillover networks: measuring interconnectedness of financial institutions, NetVIX -- a network volatility index of financial markets

Cites Work

• Unnamed Item
• Single-index quantile regression
• The Adaptive Lasso and Its Oracle Properties
• Estimating the dimension of a model
• Nonparametric and semiparametric models.
• Adaptive penalized quantile regression for high dimensional data
• \(\ell_1\)-penalized quantile regression in high-dimensional sparse models
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Systemic Risk in Financial Systems
• Exponential inequalities for the distributions of canonical U- and V-statistics of dependent observations
• Quantile smoothing splines
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Financial Network Systemic Risk Contributions
• UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL
• Tuning parameter selectors for the smoothly clipped absolute deviation method