Comparison of Systemic Financial Risks in the US before and after the COVID-19 Outbreak—A Copula–GARCH with CES Approach by Ji Ma, Xiaoqing Li, Jianxu Liu, Jiande Cui, Mingzhi Zhang, Songsak Sriboonchitta

“…This paper aims to predict the systemic financial risk in the US before and during the COVID-19 pandemic by using copula–GJR–GARCH models with component expected shortfall (CES), and also identify systemically important financial institutions (SIFIs) for the two comparative periods. …”
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