Measuring the propagation of financial distress with Granger-causality tail risk networks
Year of publication: |
2018
|
---|---|
Authors: | Corsi, Fulvio ; Lillo, Fabrizio ; Pirino, Davide ; Trapin, Luca |
Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2222049-5. - Vol. 38.2018, p. 18-36
|
Subject: | Financial stability | Flight-to-quality | Granger-causality | Illiquidity | Sovereign debt crisis | Systemic risk propagation | Finanzkrise | Financial crisis | Ansteckungseffekt | Contagion effect | Bankrisiko | Bank risk | Öffentliche Schulden | Public debt | Systemrisiko | Systemic risk | Länderrisiko | Country risk |
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