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View all- Bar HBooth JWells M(2021)Mixed effect modelling and variable selection for quantile regressionStatistical Modelling10.1177/1471082X21103349023:1(53-80)Online publication date: 23-Aug-2021
Measuring connectedness among financial institutions is an important aspect of monitoring systemwide risk development and identifying systemically risky institutions. In this work, we present a novel statistical method for measuring connectivity among ...
Granger causality analysis emerges as a typical method for inferring causal interactions in economics variables. Yet the traditional pairwise approach to Granger causality analysis may not clearly distinguish between direct causal influences from ...
In this paper, I empirically study on eight different types of sample commercial banks by CoVaR model and quantile regression techniques. The new find is that from perspective of liquidity, the larger asset banks face higher liquidity risk, which is ...
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