This paper proposes a new measure of tail risk spillover. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector to many real economy sectors in the U.S. economy in the period from 2001 to 2011. These spillovers increase in crisis periods. The conditional coexceedance in a given sector is positively related to its amount of debt financing, and negatively related to its relative valuation and investment. Real economy sectors which require substantial external financing, and whose value and investment activity are relatively lower, are prime candidates for depreciation in the wake of crisis in the financial sector.
Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches
Uncertainty and financial market resilience: Evidence from China
School of Business, East China University of Science and Technology（华东理工大学商学院）；Research Center for Econophysics, East China University of Science and Technology（华东理工大学经济物理研究中心）；School of Economics and Management, Southwest University of Science and Technology（西南科技大学经济与管理学院）；School of Mathematics, East China University of Science and Technology（华东理工大学数学系）
Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
评估金融市场的系统性风险非常重要，但它往往需要无法获得或频率很低的数据。因此，部分信息的系统性风险评估对于监管机构和其他利益相关者可能非常有用。在本文中，我们使用Greenwood et al.（2015）定义的风险度量来考虑由于甩卖溢出和投资组合再平衡而导致的系统性风险。通过使用最大熵原理，我们提出了一种方法来评估聚合和单个银行的系统性和脆弱性，并统计测试这些变量的变化时，只有每个银行的规模和资本化的投资资产的信息。我们证明了我们的方法的有效性，2001-2013年的季度数据，美国银行的投资组合组成。
Dynamic Risk in the U.S. Banking System: An Analysis of Sentiment, Policy Shocks, and Spillover Effects
A. R. Sánchez Jr. School of Business, Texas A&M International University（德克萨斯农工大学国际学院）；Angelo State University（安杰洛州立大学）；Southern University and A&M College（南方大学和农业与机械学院）；The University of Texas Rio Grande Valley（德克萨斯大学里奥格兰德河谷分校）；Soochow University（东吴大学）；The University of Mississippi（密西西比大学）
