Tail Risk Connectedness Between US Industries
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 receivers, and tail-risk distributors among industries and confirm that the actual trade flow between industries is a major driver of their tail risk connectedness.
The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link.
Citation : Nguyen, L.H., Nguyen, L.X.D., Tan, L. (2020) Tail risk connectedness between US industries. International Journal of Finance and Economics.
ISSN : 1076-9307
Research Institute : Finance and Banking Research Group (FiBRe)
Peer Reviewed : Yes