When one domino falls, others follow : a machine learning analysis of extreme risk spillovers in developed stock markets
Year of publication: |
2024
|
---|---|
Authors: | Sitara Karim ; Muhammad Shafiullah ; Naeem, Muhammad Abubakr |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier Science, ISSN 1057-5219, ZDB-ID 2029229-6. - Vol. 93.2024, Art.-No. 103202, p. 1-16
|
Subject: | CoVaR | Extreme risk spillovers | Neural networks | Quantile regression | Tail risk | Risikomaß | Risk measure | Neuronale Netze | Spillover-Effekt | Spillover effect | Risikomanagement | Risk management | Aktienmarkt | Stock market | Ausreißer | Outliers | Risiko | Risk | Regressionsanalyse | Regression analysis | Volatilität | Volatility |
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