A gradient boosting approach to estimating tail risk interconnectedness
Year of publication: |
2022
|
---|---|
Authors: | Long, Yunshen ; Zeng, LinQing ; Wang, Jing ; Long, Xingchen ; Wu, Liang |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 54.2022, 8, p. 862-879
|
Subject: | Financial risk | interconnectedness | machine learning | tail risk | Risikomaß | Risk measure | Risikomanagement | Risk management | Risiko | Risk | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Finanzkrise | Financial crisis |
-
Macroeconomic and financial risks : a tale of mean and volatility
Caldara, Dario, (2021)
-
Measuring asset market linkages : nonlinear dependence and tail risk
Escanciano, Juan Carlos, (2021)
-
Mind the tail, or risk to fail
Gupta, Jairaj, (2019)
- More ...
-
Market price determination : Interpreting quote order imbalance under zero-profit equilibrium
Long, Yunshen, (2024)
-
Analysts’ Disagreement, Self-Selection, and Stock Returns
Wu, Liang, (2021)
-
A Gradient Boosting Approach to Estimating Tail Risk Contagion
Long, Yunshen, (2020)
- More ...