Dependence and systemic risk analysis between S&P 500 index and sector indexes : a conditional value-at-risk approach
Shoukun Jiao, Wuyi Ye
| Year of publication: |
2022
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|---|---|
| Authors: | Jiao, Shoukun ; Ye, Wuyi |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 59.2022, 3, p. 1203-1229
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| Subject: | Systemic risk | Sector indexes | CoVaR | Regime-switching copula | Systemrisiko | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Aktienindex | Stock index | Index | Index number | Risikomanagement | Risk management | Finanzkrise | Financial crisis | Messung | Measurement |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10125-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013169244