Gropp, Reint (contributor); Lo Duca, Marco (contributor); … - 2007
multinomial logit model to estimate the number of banks in a given country that experience a large shock on the same day … (coexceedancesʺ) as a function of variables measuring common shocks and coexceedances in other countries. Large shocks are measured by …This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a …