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DSpace at EWHA사회과학대학 경제학전공 Journal papers

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Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models

Title: Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models

Authors: Yun J.; Moon H.

Ewha Authors: 윤재호

SCOPUS Author ID: 윤재호

Issue Date: 2014

Journal Title: Pacific Basin Finance Journal

ISSN: 0927-538X

Citation: Pacific Basin Finance Journal vol. 27, no. 1, pp. 94 - 114

Indexed: SSCI; SCOPUS

Document Type: Article

Abstract: CoVaR; DCC (dynamic conditional correlation) model; MES (marginal expected shortfall); Systemic risk; Threshold VAR

DOI: 10.1016/j.pacfin.2014.02.005

Appears in Collections:: 사회과학대학 > 경제학전공 > Journal papers

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