Will a boom be followed by crash? a new systemic risk measure based on right-tail risk

HIGHLIGHTS

• who: ufeffQingufeff ufeffLiuufeff from the Air University, Henan University of Technology, China have published the paper: Will a boom be followed by crash? A new systemic risk measure based on right-tail risk, in the Journal: (JOURNAL)
• what: In contrast to the preceding literature, the authors attempt to understand the Chinese stock market crash1 from the perspective of right-tail risk. In contrast to the volatility spillover literature (Diebold and Yu0131lmaz, 2014; Brunnermeier et_al, 2020; Gong, et_al, 2020; Yang et_al, 2020), the authors focus on tail volatility and identify the spillover effects of various market . . .
  

   

  

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