Browsing by Author "Nguyen, Linh Xuan Diep"
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Tail Risk Connectedness Between US Industries
Nguyen, Linh H.; Nguyen, Linh Xuan Diep; Tan, Linzhi (Article)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 ...