Risk measurement of China's green financial market based on B-spline quantile regression
To accurately measure the spillover effect of China's green financial carbon emission market, a new measurement of conditional value at risk (CoVaR) based on the B-spline quantile methods is proposed. Firstly, the variable coefficient CoVaR model is constructed, and the model coefficients are e...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-06-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S240584402304001X |