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Journal Articles

Does CPU impact systemic risk contributions of Chinese sectors? Evidence from mixed frequency methods with asymmetric tail long memory

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Kun-Liang Jiang, Liang-Ying Su, Xin-Yu Mi, Jia-Shan Song, Si-Yao Wei
Journal: China Finance Review International
China Finance Review International 1–25.
https://doi.org/10.1108/CFRI-05-2025-0281
Published: 13 November 2025
... Publishing Limited 2025 Emerald Publishing Limited Licensed re-use rights only Asymmetric tail long memory Climate policy uncertainty Marginal expected shortfall Mixture copula Mixed frequency score-driven model Postgraduate Innovation Fund Project by Southwest University of Science...
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Journal Articles

The impact of the COVID-19 pandemic on bank systemic risk: some cross-country evidence

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Yuanyun Yan, Bang Nam Jeon, Ji Wu
Journal: China Finance Review International
China Finance Review International (2023) 13 (3): 388–409.
https://doi.org/10.1108/CFRI-08-2022-0158
Published: 20 January 2023
... economies, and with banks with differed characteristics. Design/methodology/approach The authors construct the bank-specific conditional value at risk (CoVaR) and marginal expected shortfall (MES) to measure their contribution to systemic risk and define the outbreak of the COVID-19 pandemic...
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