Idiosyncratic Risk Connectedness Among Financial Institutions: A Quantile Factor VAR Approach

DU Yan, OUYANG Zisheng, ZHOU Xuewei

Journal of Systems Science and Mathematical Sciences ›› 2023, Vol. 43 ›› Issue (2) : 431-451.

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Journal of Systems Science and Mathematical Sciences ›› 2023, Vol. 43 ›› Issue (2) : 431-451. DOI: 10.12341/jssms22433

Idiosyncratic Risk Connectedness Among Financial Institutions: A Quantile Factor VAR Approach

  • DU Yan1, OUYANG Zisheng2, ZHOU Xuewei2
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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2023, 43(2): 431-451 https://doi.org/10.12341/jssms22433

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