How risk spillover network structure affects VaR: A study using complex networks and quantile regression

In early 2020, the global economy was hit by the “black swan” event of the COVID-19 pandemic, which triggered ups and downs in international financial markets. Volatility in financial markets is often due to price fluctuations and the fluctuations have a significant linkage effect, which makes it ea...

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Bibliographic Details

Published in:	International Review of Economics & Finance
Main Authors:	Xian Xi, Xiangyun Gao, Weiqiong Zhong
Format:	Article
Language:	English
Published:	Elsevier 2025-03-01
Subjects:	Risk spillover DCC-GARCH Complex network Quantile regression Mining stock market
Online Access:	http://www.sciencedirect.com/science/article/pii/S1059056025001194