All Outputs (2)

Tail risk connectedness between US industries (2020)
Journal Article
Nguyen, L. H., Nguyen, L. X. D., & Tan, L. (2021). Tail risk connectedness between US industries. International Journal of Finance and Economics, 26(3), 3624-3650. https://doi.org/10.1002/ijfe.1979

We use the Least Absolute Shrinkage and Selection Operator (LASSO) quantile regression technique to construct and analyse the complete tail risk connectedness network of the whole US industry system. We also investigate the empirical relationship bet... Read More about Tail risk connectedness between US industries.

Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach (2020)
Journal Article
Nguyen, L. H., Chevapatrakul, T., & Yao, K. (2020). Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach. Journal of Empirical Finance, 58, 333-355. https://doi.org/10.1016/j.jempfin.2020.06.006

© 2020 Elsevier B.V. We construct the complete network of tail risk spillovers among major cryptocurrencies using the Least Absolute Shrinkage and Selection Operator (LASSO) quantile regression. We capture important features of the network, including... Read More about Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach.