@article{Mo2022, 
author = {Tingcheng Mo and Chi Xie and Kelong Li and Yingbo Ouyang and Zhijian Zeng},
title = {Transmission effect of extreme risks in China's financial sectors at major emergencies: Empirical study based on the GPD-CAViaR and TVP-SV-VAR approach},
year = {2022},
journal = {Electronic Research Archive},
volume = {30},
number = {12},
pages = {4657-4673},
keywords = {transmission effect, extreme risk, major emergency, financial sector},
url = {https://www.sciopen.com/article/10.3934/era.2022236},
doi = {10.3934/era.2022236},
abstract = {Major emergencies cause massive financial risk and economic loss. In the context of major emergencies, we propose the GPD-CAViaR model to depict the extreme risks of financial sectors, and utilize the TVP-SV-VAR model to analyze their transmission effect. We find that (ⅰ) the securities sector has the highest extreme risks among the four financial sectors; (ⅱ) when major emergencies occur, the extreme risks of various financial sectors increase rapidly; (ⅲ) the transmission effect in short term is stronger than that in medium and long term; and (ⅳ) the transmission effects at different time points are relatively consistent.}
}