Open AccessQuantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks
Author(s) -
Tomohiro Ando,
Matthew GreenwoodNimmo,
Yongcheol Shin
Publication year - 2022
Publication title -
management science
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 4.954
H-Index - 255
eISSN - 1526-5501
pISSN - 0025-1909
DOI - 10.1287/mnsc.2021.3984
Subject(s) - spillover effect , econometrics , social connectedness , quantile , quantile regression , risk measure , tail risk , aggregate (composite) , credit risk , expected shortfall , measure (data warehouse) , economics , distribution (mathematics) , risk management , mathematics , computer science , finance , data mining , microeconomics , portfolio , psychology , mathematical analysis , materials science , composite material , psychotherapist
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