Yang, Huan; Cai, Jun; Huang, Lin - In: International studies of economics 19 (2024) 2, pp. 186-222
In this study, we investigate the tail dependency between bank stocks in China and 35 common risk factors. We measure … univariate and multivariate conditional tail risk probabilities. The evidence indicates that tail events from risk factors in the … from Chinese bank stocks. The univariate conditional tail risk is considerably higher than the unconditional tail risk. The …
