Multiscale Tail Risk Connectedness of Global Stock Markets: A LASSO-Based Network Topology Approach

Multiscale Tail Risk Connectedness of Global Stock Markets: A LASSO-Based Network Topology Approach

Due to the advent of deglobalization and regional integration, this article aims to adopt LASSO-based network connectedness to estimate the multiscale tail risk spillover effects of global stock markets. The results show that tail risk varies across frequencies and shocks. In static analysis, the ri...

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Bibliographic Details
Main Authors: Yuting Du, Xu Zhang, Zhijing Ding, Xian Yang
Format: Article
Language:English
Published: Wiley 2022-01-01
Series:Complexity
Online Access:http://dx.doi.org/10.1155/2022/7635144
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