Financial Econometrics and Systemic Risk

DOI10.1007/978-3-030-54108-8_3OpenAlexW3132108582MaRDI QIDQ5049419

M. Hakan Eratalay

Publication date: 11 November 2022

Published in: Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-54108-8_3

zbMATH Keywords

social networkscorrelationsGranger causalityvariance decompositionsexpected shortfallGaussian graphical modelvalue at risksystemic riskCoVaRARMA-GARCH modelsSRISKNETS

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Uses Software

• ElemStatLearn

Cites Work

• Unnamed Item
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• Where the Risks Lie: A Survey on Systemic Risk*

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