International tail risk connectedness: Network and determinants
(2021)
Journal Article
Nguyen, L. H., & Lambe, B. J. (2021). International tail risk connectedness: Network and determinants. Journal of International Financial Markets, Institutions and Money, 72, Article 101332. https://doi.org/10.1016/j.intfin.2021.101332
We construct a complete network of directional tail risk connectedness for 32 countries within a Least Absolute Shrinkage and Selection Operator (LASSO) Quantile Regression framework. In addition to highlighting the network's essential features, incl... Read More about International tail risk connectedness: Network and determinants.