Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness

DOI10.1080/14697688.2020.1814038zbMath1471.91601OpenAlexW3012399414MaRDI QIDQ4957269

Shimeng Shi, Pei Liu, Jiayuan Xin

Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1814038

zbMATH Keywords

frequency domainsystemic riskCDS sector indexfrequency-dependent connectednesstelecommunications sector

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Impulse response analysis in nonlinear multivariate models
• Generalized impulse response analysis in linear multivariate models
• Systemic risk in the European sovereign and banking system
• Financial networks and interconnectedness in an advanced emerging market economy
• When does low interconnectivity cause systemic risk?
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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