In this paper, we combine the time-varying financial network model and FARM-selection
approach to analyze the tail risk contagion between international financial market during the …

Incorporating higher-order moments, like realized volatility, skewness, and kurtosis, is
crucial for understanding asymmetric asset pricing trends. Our research rigorously …

The paper investigates whether a firm's implied volatility is affected by the volatility of central
bank digital currencies. Our sample covers 2853 listed companies in the United States from …

The spillover effects between financial sectors and real economy in different risk levels are
of concern for investors and regulatory authorities. Firstly, based on the sector returns of …

This paper studies the spread of the Subprime Crisis and the European Sovereign Debt
Crisis from Eurozone countries to the real economy by examining 10 sectors in major …

In this study, we consider as a predictor of gold return predictability, an alternative measure
of systematic risk using the tail risk obtained from the four variants (Adaptive, Symmetric …

This paper investigates the spillover effects of banking sector risk on firms in China and
explores the risk transmission channels from the perspective of financial cycle. We use the …

The COVID-19 crisis seriously impacted the global economy and supply chain system.
Unlike previous studies, this paper examines the risk spillover effects within the supply chain …

We construct a complete network of directional tail risk connectedness for 32 countries
within a Least Absolute Shrinkage and Selection Operator (LASSO) Quantile Regression …

Overconfidence is a common psychological phenomenon among individuals. Business
groups are important participants in China. This paper combines these two important topics …