Idiosyncratic Risk Connectedness Among Financial Institutions: A Quantile Factor VAR Approach
DU Yan, OUYANG Zisheng, ZHOU Xuewei
Journal of System Science and Mathematical Science Chinese Series ›› 2023, Vol. 43 ›› Issue (2) : 431-451.
Idiosyncratic Risk Connectedness Among Financial Institutions: A Quantile Factor VAR Approach
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