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The cross-quantilogram : measuring quantile dependence and testing directional predictability between time series
Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-jae - 2014
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to …
Persistent link: https://www.econbiz.de/10010245330
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Risks and vulnerabilities in the U.S. bond mutual fund industry
Bouveret, Antoine; Yu, Jie - 2021
contagion analysis using data on fund flows and returns shows that Investment Grade (IG) corporate bonds funds, municipal bond …
Persistent link: https://www.econbiz.de/10012605013
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Modeling dependence in high dimensions with factor copulas
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 139-154
Persistent link: https://www.econbiz.de/10011704143
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Systemic risk : an asymptotic evaluation
Asimit, Alexandru V.; Li, Jinzhu - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 673-698
Persistent link: https://www.econbiz.de/10011875678
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The cross-quantilogram : measuring quantile dependence and testing directional predictability between time series
Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-jae - In: Journal of econometrics 193 (2016) 1, pp. 251-270
Persistent link: https://www.econbiz.de/10011704806
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Asymptotics for systemic risk with dependent heavy-tailed losses
Liu, Jiajun; Yang, Yang - In: ASTIN bulletin : the journal of the International … 51 (2021) 2, pp. 571-605
Persistent link: https://www.econbiz.de/10012523256
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Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model
Li, Jinzhu - In: Insurance / Mathematics & economics 107 (2022), pp. 38-56
Persistent link: https://www.econbiz.de/10013471098
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A theory of multivariate stress testing
Millossovich, Pietro; Tsanakas, Andreas; Wang, Ruodu - In: European journal of operational research : EJOR 318 (2024) 3, pp. 851-866
Persistent link: https://www.econbiz.de/10015048176
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The effect of the interbank network structure on contagion and financial stability
Georg, Co-Pierre - 2010
influence of the network topology on contagion in financial networks. This paper therefore compares contagion in Barabási … deposits. Contagion effects from the default of a large bank are studied in different network topologies. The results indicate … that contagion is more severe in random and scale-free networks than in small-world networks. This situation changes when …
Persistent link: https://www.econbiz.de/10010334482
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Illiquidity and all its friends
Tirole, Jean - 2010
illiquidity and all its friends: market freezes, fire sales, contagion, and ultimately insolvencies and bailouts. It first …
Persistent link: https://www.econbiz.de/10010272481