A method for evaluating the extreme risk sources of financial markets: The case of stock markets in China

被引：1

作者：

Di, Junpeng ^{[1
]}

Zhu, Pingfang ^{[1
]}

机构：

[1] Shanghai Acad Social Sci, Shanghai, Peoples R China

来源：

GLOBAL FINANCE JOURNAL | 2015年 / 26卷

基金：

中国国家自然科学基金;

关键词：

Bayesian quantile regression; CVaR-Granger causality test; Extreme risk; Source;

D O I：

10.1016/j.gfj.2015.01.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Risk contagion has attracted increasing research attention in recent years. In this paper, we combined conditional Value at Risk (CVaR), Bayesian quantile regression and Granger causality test to propose a Bayesian CVaR-Granger causality test method, which is an efficient tool in analyzing sources of extreme risks in a financial market. Using this method, we determined the sources of extreme risks in major stock markets in China. (C) 2015 Published by Elsevier Inc.

引用

页码：18 / 28

页数：11

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