Hong, Yongmiao; Liu, Yanhui; Wang, Shouyang - In: Journal of Econometrics 150 (2009) 2, pp. 271-287
Controlling and monitoring extreme downside market risk are important for financial risk management and portfolio/investment diversification. In this paper, we introduce a new concept of Granger causality in risk and propose a class of kernel-based tests to detect extreme downside risk spillover...