Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications
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DOI: 10.20955/wp.2023.016
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More about this item
Keywords
time-varying tail risk; high-frequency data; Federal Open Market Committee (FOMC) news; monetary policy announcements; cojumps; systemic risk; jump intensity;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2023-08-14 (Banking)
- NEP-CBA-2023-08-14 (Central Banking)
- NEP-ECM-2023-08-14 (Econometrics)
- NEP-FMK-2023-08-14 (Financial Markets)
- NEP-MST-2023-08-14 (Market Microstructure)
- NEP-RMG-2023-08-14 (Risk Management)
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