Will a boom be followed by crash? A new systemic risk measure based on right-tail risk
Sign Up to like & getrecommendations! Published in 2023 at "Frontiers in Psychology"
DOI: 10.3389/fpsyg.2022.1104618
Abstract: In this study, we demonstrate that high short-term gains on the A-share market may lead to significant losses in the future and potentially cause a market catastrophe. To study the accumulation, outbreak, and cross-sector spillover… read more here.
Keywords: systemic risk; tail risk; risk; right tail ... See more keywords