Using a fitted CAViaR quantile model, the paper reports that US high-yield credit market tail risk spills over to stocks, FX and interbank markets more strongly than the reverse, making credit the central warning market.
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Tail Risk Alert Based on Conditional Autoregressive VaR by Regression Quantiles and Machine Learning Algorithms
Using a fitted CAViaR quantile model, the paper reports that US high-yield credit market tail risk spills over to stocks, FX and interbank markets more strongly than the reverse, making credit the central warning market.