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Systemic risk in European sovereign debt markets: A CoVaR-copula approach
Reboredo, Juan C.; Ugolini, Andrea - In: Journal of International Money and Finance 51 (2015) C, pp. 214-244
the conditional value-at-risk (CoVaR) as a systemic risk measure, characterized and computed using copulas. We found that …
Persistent link: https://www.econbiz.de/10011190183
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The impact of climate transition risks on financial stability: A systemic risk approach
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos; Ugolini, … - 2022
risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market …
Persistent link: https://www.econbiz.de/10014278307
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Systemic risk in European sovereign debt markets : a CoVaR-copula approach
Reboredo, Juan Carlos; Ugolini, Andrea - In: Journal of international money and finance 51 (2015), pp. 214-244
Persistent link: https://www.econbiz.de/10011475258
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The impact of energy prices on clean energy stock prices : a multivariate quantile dependence approach
Reboredo, Juan Carlos; Ugolini, Andrea - In: Energy economics 76 (2018), pp. 136-152
Persistent link: https://www.econbiz.de/10011976602
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The impact of climate transition risks on financial stability : a systemic risk approach
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos; Ugolini, … - 2022
risk metrics computed from a copula-based model of dependence between financial firm returns and financial asset market …
Persistent link: https://www.econbiz.de/10013041402
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Downside and upside risk spillovers between exchange rates and stock prices
Reboredo, Juan Carlos; Rivera-Castro, Miguel A.; … - In: Journal of banking & finance 62 (2016), pp. 76-96
Persistent link: https://www.econbiz.de/10011634069
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Do green bonds de-risk investment in low-carbon stocks?
Reboredo, Juan Carlos; Ugolini, Andrea; Ojea-Ferreiro, … - In: Economic modelling 108 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013347911