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
收藏
页码：18 / 28
页数：11
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