Quantifying Systemic Risk via High-Dimensional CoVaR Measures

Published: 19 January 2026| Version 1 | DOI: 10.17632/5w2f9syb6j.1
Contributor:
Yufei Cao

Description

The R codes include two parts. The first part is the sample period from 2007-2013. This part is used for producing Section 7. The second part is the sample period from 2014-2024. This part covers Section 4, 5, 6 and Appendix B. For each folder, we have numbered the R files and included the original data. Following the numbered R files, we can estimate the results.

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Categories

Financial Risk, Systemic Risk Analysis

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