Modeling Systemic Risk Contagion among Major Global Stock Markets: A Conditional Systemic VaR (CoSVaR) Framework

Description

This repository contains the data and R code used in the manuscript “Modeling Systemic Risk Contagion among Major Global Stock Markets: A Conditional Systemic VaR (CoSVaR) Framework”. The R code can reproduce the empirical analysis, tables, and figures reported in the paper. The authors share these files to ensure transparency, facilitate validation, and support the reproducibility of the analyses.

Institutions

• University of Georgia

  Georgia, Athens

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