All Outputs (2)

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.

Do stress tests affect bank liquidity creation? (2020)
Journal Article
Nguyen, H., Vu, T., Ahmed, S., Chevapatrakul, T., & Onali, E. (2020). Do stress tests affect bank liquidity creation?. Journal of Corporate Finance, 64, https://doi.org/10.1016/j.jcorpfin.2020.101622

We examine the impact of Federal Reserve stress tests from 2009 to 2016 on U.S. bank liquidity creation. Empirical results show that regulatory stress tests have a negative effect on both on-and off-balance sheet bank liquidity creation and asset-sid... Read More about Do stress tests affect bank liquidity creation?.