COVARConsumption Variation
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Under these estimated equations, the CoVaRs for the whole system conditional on 18 sectors ([CoVaR.
Clearly, most conditional CoVaRs were larger than the sector's VaR, except for a few sectors.
In addition, as the electronic sector and banking sector rank as the top two CoVaR sectors, their time series CoVaRs for the sample period needed to be thoroughly explored, with this being presented in Fig.