Abstract
This paper incorporates high-frequency information to measure systemic risk. Under the Multivariate Realized GARCH framework, we compute the CoVaR measure using a multivariate skew-t distribution. Using 5-minute data of 98 U.S. financial institutions from 2000 to 2022, we show the empirical improvement of the high-frequency measurement. We also investigate the relationship between institutions’ systemic risk contributions and firm-level characteristics. Our empirical findings suggest that firm size and leverage are positively related to institutions’ contributions to systemic risk.
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