Temperature difference and systemic risk: Evidence from LASSO-VAR-DY based on China’s pan-financial market
Kaiwei Jia,
Yunqing Du
Abstract:Climate change-induced pan-financial market and the contagion of systemic financial risks are becoming important issues in the financial sector. The paper measures the temperature difference in terms of the degree and direction of deviation of the actual temperature relative to the average temperature of the same historical period. Based on the high-dimensional time-series variable LASSO-VAR-DY framework, we construct a pan-financial market volatility correlation network consisting of 112 Chinese listed compan… Show more
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