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Tail risk connectedness between US industries

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journal contribution
posted on 2020-08-21, 11:17 authored by Linh H Nguyen, Linh XD Nguyen, Linzhi Tan
We use the Least Absolute Shrinkage and Selection Operator (LASSO) quantile regression technique to construct and analyse the complete tail risk connectedness network of the whole US industry system. We also investigate the empirical relationship between input-output linkages and the tail risk spillovers among US industries. Our findings identify the tail-risk drivers, tail-risk takers, and tail-risk distributors among industries and confirm that the actual trade flow between industries is a major driver of their tail risk connectedness.

History

Citation

Nguyen, LH, Nguyen, LXD, Tan, L. Tail risk connectedness between US industries. Int J Fin Econ. 2020; 1– 27. https://doi.org/10.1002/ijfe.1979

Version

  • VoR (Version of Record)

Published in

International Journal of Finance and Economics

Pagination

1-27

Publisher

Wiley

issn

1076-9307

eissn

1099-1158

Acceptance date

2020-06-18

Copyright date

2020

Available date

2020-08-21

Language

en

Publisher version

https://onlinelibrary.wiley.com/doi/full/10.1002/ijfe.1979

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