Name of Quantlet: FRM-Taiwan
Published in: OWTRS conference
Description: This study revises the Financial Risk Meter (FRM) to assess systemic risk in Taiwan's key electronic and financial sectors, using machine learning for enhanced recession prediction and risk analysis.
Submitted: 02 Dec 2023
Keywords:
- FRM (Financial Risk Meter)
- Lasso Quantile Regression
- Systemic Risk
- Recession
- Financial Network
Author: Huei-Wen Teng, Siang-Li Jheng, Jhih-Yi Chen, Chun-Ya Tang, Hsin-Yu Tsai, Wolfgang Karl Härdle
