Measuring systemic risk of the US banking sector in time-frequency domain
Year of publication: |
November 2017
|
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Authors: | Teply, Petr ; Kvapilikova, Ivana |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 42.2017, p. 461-472
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Subject: | Bank | Conditional value at risk (CoVaR) | DCC GARCH | Tail dependence | US banks | Wavelet analysis | Wavelet Conditional Value at Risk (WCoVaR) | Finanzdienstleistung | Financial services | Risikomaß | Risk measure | Zustandsraummodell | State space model | Bankrisiko | Bank risk | Systemrisiko | Systemic risk | ARCH-Modell | ARCH model | Messung | Measurement |
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