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.