Open AccessAn Empirical Study on Measuring Systemic Risk Based on Information Flows using Variance Decomposition and DebtRank
Author(s) -
A-Young Park,
HoYong Kim,
Gabjin Oh
Publication year - 2015
Publication title -
hanguk gyeongyeong gwahakoeji/han'gug gyeong'yeong gwahag hoeji
Language(s) - English
Resource type - Journals
eISSN - 2733-4759
pISSN - 1225-1119
DOI - 10.7737/jkorms.2015.40.4.035
Subject(s) - systemic risk , volatility (finance) , variance decomposition of forecast errors , econometrics , variance (accounting) , economics , stock (firearms) , subprime crisis , financial crisis , variance risk premium , implied volatility , volatility risk premium , mechanical engineering , accounting , engineering , macroeconomics