Financial econometrics and systemic risk
Year of publication: |
2021
|
---|---|
Authors: | Eratalay, M. Hakan |
Published in: |
Handbook of research on emerging theories, models, and applications of financial econometrics. - Cham, Switzerland : Springer, ISBN 978-3-030-54107-1. - 2021, p. 65-91
|
Subject: | ARMA-GARCH models | Correlations | CoVaR | Expected shortfall | Gaussian graphical model | Granger causality | NETS | Social networks | SRISK | Systemic risk | Value at risk | Variance decompositions | Risikomaß | Risk measure | Systemrisiko | Theorie | Theory | Kausalanalyse | Causality analysis | ARCH-Modell | ARCH model | Finanzkrise | Financial crisis | Korrelation | Correlation | Finanzmarkt | Financial market | Soziales Netzwerk | Social network | Finanzmarktökonometrie | Financial econometrics | Ökonometrie | Econometrics | Varianzanalyse | Analysis of variance | Messung | Measurement | Risiko | Risk | Portfolio-Management | Portfolio selection |
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