Does Systemic Risk Predict Downturns for the Economy and Stock Market in Taiwan?
碩士 === 國立交通大學 === 財務金融研究所 === 102 === Our study builds on the CoVaR proposed by Adrian and Brunnermeier (2011) and VaR methodology, which allows us to aggregate the time-varying estimates of the systemic and catastrophic risk contribution for each firm in our sample. The result shows that both measu...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/97920005910096067791 |