Zhang, Ping; Wang, Yiru; Zhao, Min; Yang, Tzu-Yi - In: Financial studies 25 (2021) 3, pp. 6-29
2010 to 2018. The quantile regression method and the GARCH model were applied to measure the systemic risk of banks in … than the medium and small banks. Comparing the quantile regression method and the GARCH model method indicated that both … significantly smaller than the result from the quantile regression method. Compared with the DCC-GARCH model, a simple GARCH model …