Bettin, Giulia; Mensi, Gian Marco; Recchioni, Maria Cristina - In: Risks : open access journal 11 (2023) 10, pp. 1-26
representative sample of Eurozone banks between 2011 and 2022. Comparing the results to the output of a bivariate approach, we found …. For our computations, we used multivariate GARCH, Monte Carlo simulations, and a suite of Eurozone-specific factors. Our …