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 -
journal of the korean operations research and management science society
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
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