Dynamic financial tail risk networks: A backtesting-based conditional expected shortfall approach

• Donghao Zhang,

  Roles Conceptualization, Formal analysis, Funding acquisition, Investigation, Methodology, Project administration, Supervision, Writing – review & editing

  Affiliation Chinese Financial Research Institute, Southwestern University of Finance and Economics, Chengdu, PR China

  https://orcid.org/0000-0002-2497-9300

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• Xiaodong Yan,

  Roles Conceptualization, Data curation, Formal analysis, Methodology, Software, Validation, Visualization, Writing – original draft

  Affiliation School of Finance, Southwestern University of Finance and Economics, Chengdu, PR China

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• Feng Shen

  Roles Conceptualization, Funding acquisition, Investigation, Methodology, Project administration, Supervision, Writing – review & editing

  * E-mail: shenfeng1213@gmail.com

  Affiliations School of Finance, Southwestern University of Finance and Economics, Chengdu, PR China, Engineering Research Center of Intelligent Finance, Southwestern University of Finance and Economics, Chengdu, PR China

  https://orcid.org/0000-0002-8215-530X

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