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Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/62038
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dc.contributor.authorHuynh Luu duc Toan-
dc.contributor.otherMatteo Foglia-
dc.contributor.otherJohn A. Doukas-
dc.date.accessioned2021-08-20T14:49:19Z-
dc.date.available2021-08-20T14:49:19Z-
dc.date.issued2022-
dc.identifier.issn1544-6123-
dc.identifier.urihttp://digital.lib.ueh.edu.vn/handle/UEH/62038-
dc.description.abstractThis paper analyses tail risk spillover, considering interaction of the 46 largest capitalization firms in the Eurozone over the period 9 January 2006 to 28 December 2020 (including part of the COVID-19 era). Employing the Tail-Event driven NETwork (TENET) model, our findings identify insights about the risk sender and receiver in interrelationships of systemic risk beyond contemporaneous total spillover effects. First, total connectedness surged and peaked in the early months of 2020, relative to previous crises. Second, industrial manufacturing and consumer products have a high degree of risk transmission. Third, we determine the predictive indicators of spillover risk. Finally, our results hold several policy implications.en
dc.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherElsevier Ltd-
dc.relation.ispartofFinance Research Letters-
dc.rightsElsevier Inc.-
dc.subjectConnectednessen
dc.subjectCOVID-19en
dc.subjectEurozone firmsen
dc.subjectSpillover risken
dc.subjectSystemic Risken
dc.subjectTENETen
dc.titleCOVID-19 and tail-event driven network risk in the Eurozoneen
dc.typeJournal Articleen
dc.identifier.doihttps://doi.org/10.1016/j.frl.2021.102070-
ueh.JournalRankingScopus, ISI-
item.fulltextOnly abstracts-
item.openairetypeJournal Article-
item.cerifentitytypePublications-
item.grantfulltextnone-
item.languageiso639-1en-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
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