Extreme risk spillover network: application to financial institutions

Wang, GJ; Xie, C; He, KJ; Stanley, HE

Wang, GJ (reprint author), Hunan Univ, Sch Business, Changsha 410082, Hunan, Peoples R China.; Wang, GJ (reprint author), Hunan Univ, Ctr Finance & Investment Management, Changsha 410082, Hunan, Peoples R China.; Wang, GJ (reprint author), Boston Univ, Ct

QUANTITATIVE FINANCE, 2017; 17 (9): 1417

Abstract

Using the CAViaR tool to estimate the value-at-risk (VaR) and the Granger causality risk test to quantify extreme risk spillovers, we propose an extre......

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