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• W3085671431 startingPage "101584" @default.
• W3085671431 abstract "To accurately measure the dynamic characteristics of systemic risk contagion under the impact of extreme financial events, we construct a research framework that analyzes the contagion dynamics of systemic risk under extreme risk impact from the perspectives of both time and space. Based on the macro-jump CCA method, this paper extracts the heterogeneous volatility sequence of financial industries considering the thick tail of the distribution of financial assets returns. Then, the dynamic variation of systemic risk in the financial sectors is characterized from the time dimension. The volatility spillover network method is used to examine the spillover contagion of systemic risk among financial system sectors from the spatial dimension. Empirical studies have found that when considering the risk contagion level, the capital market service sector plays a risk‑leading role, followed by the currency service sector and the insurance sector. The measurement indicators that consider the jump risk and the tail risk have good early warning effects on extreme financial events. Seen from the spatial direction of risk spillover, the real estate sector exhibits the most obvious risk spillover effect on other sectors and can be regarded as the source of systemic risk, which suggests differentiated regulation." @default.
• W3085671431 created "2020-09-21" @default.
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• W3085671431 date "2020-11-01" @default.
• W3085671431 modified "2023-10-16" @default.
• W3085671431 title "Research on China's financial systemic risk contagion under jump and heavy-tailed risk" @default.
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• W3085671431 doi "https://doi.org/10.1016/j.irfa.2020.101584" @default.
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