Showing 1 - 10 of 181
Persistent link: https://www.econbiz.de/10009501400
Persistent link: https://www.econbiz.de/10011285627
In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system...
Persistent link: https://www.econbiz.de/10010226180
Persistent link: https://www.econbiz.de/10010244265
Persistent link: https://www.econbiz.de/10011485150
Persistent link: https://www.econbiz.de/10010472817
Persistent link: https://www.econbiz.de/10010487100
Persistent link: https://www.econbiz.de/10010465633
Persistent link: https://www.econbiz.de/10012795658
Persistent link: https://www.econbiz.de/10012422516