TENET: Tail-Event Driven NETwork Risk

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Research , Preprint 01 Jan 2015 Germany, United Kingdom English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Copyright policy )

Authors: Karl Härdle, Wolfgang; Wang, Weining; Yu, Lining;

doi: 10.2139/ssrn.2634627 , 10.1016/j.jeconom.2016.02.013

handle: 10419/107925

TENET: Tail-Event Driven NETwork Risk

- Summary
- Subjects
- Metrics

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Countries

Germany, United Kingdom

Related Organizations

Humboldt-Universität zu Berlin
Germany
Charles University
Czech Republic
City St George’s, University of London
United Kingdom
National Chiao Tung University
Taiwan
Humboldt-Universität zu Berlin

View all View all

Keywords

Applications of statistics to actuarial sciences and financial mathematics, Systemic Risk, Generalized linear models (logistic models), 330, Generalized Quantile, quantile single-index regression, HB, Generalized quantile, Value at risk, value at risk, C51, Asymptotic properties of nonparametric inference, systemic risk, Systemic risk, Value at Risk, G32, Nonparametric regression and quantile regression, Statistical methods; risk measures, systemic risk network, CoVaR, G18, ddc:330, 330 Wirtschaft, ddc:310, generalized quantile, Systemic risk network, G38, Quantile Single-Index Regression, 310 Sammlungen allgemeiner Statistiken, Quantile single-index regression, C63, G01, Systemic Risk Network, Lasso, Systemic Risk, Systemic Risk Network, Generalized Quantile, Quantile Single-Index Regression, Value at Risk, CoVaR, Lasso, C21, jel: jel:C63, jel: jel:C21, jel: jel:G01, jel: jel:C51, jel: jel:G32, jel: jel:G38, jel: jel:G18

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	416
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Top 0.1%
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 1%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Top 10%