Analyzing Systemic Risk Spillover Networks Through a Time-Frequency Approach

Analyzing Systemic Risk Spillover Networks Through a Time-Frequency Approach

This paper investigates the spillover effects and transmission networks of systemic risk within China’s national economic sectors under extreme conditions from both time and frequency domain perspectives, building upon the spillover index methodology and calculating the ∆CoVaR index for Chinese indu...

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Bibliographic Details
Main Authors: Liping Zheng, Ziwei Liang, Jiaoting Yi, Yuhan Zhu
Format: Article
Language:English
Published: MDPI AG 2025-06-01
Series:Mathematics
Subjects:
systemic risk
spillover effects
time domain
frequency domain
Online Access:https://www.mdpi.com/2227-7390/13/13/2070
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