کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7352168 | 1476980 | 2018 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Identifying systemic important markets from a global perspective: Using the ADCC ÎCoVaR approach with skewed-t distribution
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
The objective of this paper is to evaluate the risk contributions of G7 and BRICS stock markets based on the Asymmetric Dynamic Conditional Correlation (ADCC) Delta Conditional Value at Risk (ÎCoVaR) measurement with skewed-t distribution. Our empirical results reveal that developed markets contribute relatively more to global systemic risk than emerging markets. Notably, among all markets, Brazil is second only to the US for contributing the most risk to the global system during periods of distress. Conversely, Japan contributed the least amount of systemic risk. The results of this study can significantly help the entire community of researchers and security regulators in monitoring systemic risk and promoting financial stability.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 24, March 2018, Pages 137-144
Journal: Finance Research Letters - Volume 24, March 2018, Pages 137-144
نویسندگان
Fang Libing, Chen Baizhu, Yu Honghai, Qian Yichuo,