We investigated systemic sovereign debt distress affecting European financial systems and the systemic risk implications for its European partners of a potential Greek debt default before and after the onset of the financial and debt crises, using the conditional value-at-risk (CoVaR) measure,...

This paper uses copulas to study the relationship between the US dollar (USD) exchange rate and prices for food (corn, soybeans, wheat and rice). A number of different copula specifications with different conditional dependence structures and time-varying dependence parameters were employed in...