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...

書目詳細資料
發表在:	International Review of Economics & Finance
Main Authors:	Xian Xi, Xiangyun Gao, Weiqiong Zhong
格式:	Article
語言:	英语
出版:	Elsevier 2025-03-01
主題:	Risk spillover DCC-GARCH Complex network Quantile regression Mining stock market
在線閱讀:	http://www.sciencedirect.com/science/article/pii/S1059056025001194

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