A method for evaluating the extreme risk sources of financial markets: The case of stock markets in China

Junpeng Di and Pingfang Zhu

Global Finance Journal, 2015, vol. 26, issue C, 18-28

Abstract: Risk contagion has attracted increasing research attention in recent years. In this paper, we combined conditional Value at Risk (CVaR), Bayesian quantile regression and Granger causality test to propose a Bayesian CVaR–Granger causality test method, which is an efficient tool in analyzing sources of extreme risks in a financial market. Using this method, we determined the sources of extreme risks in major stock markets in China.

Keywords: Bayesian quantile regression; CVaR–Granger causality test; Extreme risk; Source (search for similar items in EconPapers)
JEL-codes: C11 C21 G32 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:26:y:2015:i:c:p:18-28

DOI: 10.1016/j.gfj.2015.01.002

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