Granger causality in risk and detection of extreme risk spillover between financial markets

Journal of Econometrics

Volumn 150, Issue 2, 2009, Pages 271-287

  Hong, Yongmiao ^a,b   Liu, Yanhui ^c   Wang, Shouyang ^c  

^a Department of Molecular Biology and Genetics   (United States)

^b XIAMEN UNIVERSITY   (China)

^c INSTITUTE OF GEOLOGY AND GEOPHYSICS   (China)

Author keywords

Cross spectrum; Extreme downside risk; Financial contagion; Granger causality in risk; Nonlinear time series; Risk management; Value at Risk

Indexed keywords

CROSS-SPECTRUM; EXTREME DOWNSIDE RISK; FINANCIAL CONTAGION; GRANGER CAUSALITY IN RISK; NONLINEAR TIME SERIES; VALUE AT RISK;

COMMERCE; FINANCE; NORMAL DISTRIBUTION; RISK ANALYSIS; RISK ASSESSMENT; RISK MANAGEMENT; SPECTRUM ANALYSIS; STATISTICAL TESTS; TESTING; VALUE ENGINEERING;

DECISION MAKING;

EID: 67349225434     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.12.013     Document Type: Article

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