An Innovative Approach to Analyze Financial Contagion Using Causality-Based Complex Network and Value at Risk
In this paper, we propose a new approach to analyze financial contagion using a causality-based complex network and value-at-risk (VaR). We innovatively combine the use of VaR and an expected shortfall (ES)-based causality network with impulse response analysis to discover features of financial cont...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-04-01
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| Series: | Electronics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2079-9292/12/8/1846 |