2 citations · 3 across the 2 of their papers we have counts for
2 papers
q-fin.RM2022★ 2 cited
Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects
Wan-Chien Chiu, Juan Ignacio Peña, Chih-Wei Wang
We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically,…
q-fin.RM2022★ 1 cited
Industry Characteristics and Financial Risk Spillovers
Wan-Chien Chiua, Juan Ignacio Peña, Chih-Wei Wang
This paper proposes a new measure of tail risk spillover. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector t…