000135512 001__ 135512
000135512 005__ 20241220120718.0
000135512 0247_ $$2doi$$a10.1093/jjfinec/nbae005
000135512 0248_ $$2sideral$$a138660
000135512 037__ $$aART-2024-138660
000135512 041__ $$aeng
000135512 100__ $$aGil Jaime, Jesús
000135512 245__ $$aMeasuring and Testing Systemic Risk from the Cross-Section of Stock Returns
000135512 260__ $$c2024
000135512 5060_ $$aAccess copy available to the general public$$fUnrestricted
000135512 5203_ $$aThis study proposes a novel measure of systemic risk that is obtained by aggregating downside risk information from the cross section of assets. In contrast to existing studies, we expand the analysis of systemic risk to many assets and focus on marginal measures of tail risk that are aggregated using a Fisher-type test to detect the risk of systemic events. The presence of downside risk for each asset of the cross section is examined through a bootstrap test of first-order stochastic dominance between the underlying tail distribution and the tail distribution of the residuals of a multivariate DCC-GARCH model. The application of these methods to the cross section of the FTSE-100 stock returns provides overwhelming evidence on the presence of financial instability during the period 2006–2009. Interestingly, we also find compelling evidence of systemic risk during the 2012–2015 period coinciding with the European debt crisis and after the outbreak of the coronavirus disease 2019 pandemic.
000135512 536__ $$9info:eu-repo/grantAgreement/ES/MICINN/PID2019-104326GB-I00
000135512 540__ $$9info:eu-repo/semantics/openAccess$$aby$$uhttp://creativecommons.org/licenses/by/3.0/es/
000135512 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/publishedVersion
000135512 700__ $$0(orcid)0000-0002-0437-7812$$aOlmo, Jose
000135512 773__ $$g22, 5 (2024), 1503–1531$$pJournal of Financial Econometrics$$tJournal of Financial Econometrics$$x1479-8409
000135512 8564_ $$s1482921$$uhttps://zaguan.unizar.es/record/135512/files/texto_completo.pdf$$yVersión publicada
000135512 8564_ $$s2005607$$uhttps://zaguan.unizar.es/record/135512/files/texto_completo.jpg?subformat=icon$$xicon$$yVersión publicada
000135512 909CO $$ooai:zaguan.unizar.es:135512$$particulos$$pdriver
000135512 951__ $$a2024-12-20-12:05:37
000135512 980__ $$aARTICLE