Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper
Year of publication: |
2014
|
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Authors: | Blasques, Francisco ; Koopman, Siem Jan ; Lucas, André ; Schaumburg, Julia |
Published in: | |
Publisher: |
[Kiel : ZBW |
Subject: | Spatial correlation | time-varying parameters | systemic risk | European debt crisis | generalized autoregressive score | Systemrisiko | Systemic risk | Zeitreihenanalyse | Time series analysis | Spillover-Effekt | Spillover effect | Korrelation | Correlation | Finanzmarkt | Financial market | Räumliche Interaktion | Spatial interaction | Finanzkrise | Financial crisis | EU-Staaten | EU countries | Autokorrelation | Autocorrelation | Risikomaß | Risk measure |
Extent: | Online-Ressource (46 S.) graph. Darst. |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2014-107 |
Conferences: | Jahrestagung des Vereins für Socialpolitik: Evidenzbasierte Wirtschaftspolitik ; 2014 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Konferenzschrift ; Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | hdl:10419/100632 [Handle] |
Classification: | c58 ; C23 - Models with Panel Data ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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