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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014
We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...
Persistent link: https://www.econbiz.de/10010391531
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Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014
-specific and Europe-wide risk factors. The estimation results indicate a high, time-varying degree of spatial spillovers in the …
Persistent link: https://www.econbiz.de/10010491085
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Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791
Persistent link: https://www.econbiz.de/10009708799
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Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models
Yun, Jaeho; Moon, Hyejung - In: Pacific-Basin finance journal 27 (2014), pp. 94-114
Persistent link: https://www.econbiz.de/10010499711
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Network quantile autoregression
Zhu, Xuening; Wang, Weining; Wang, Hansheng; Härdle, … - In: Journal of econometrics 212 (2019) 1, pp. 345-358
Persistent link: https://www.econbiz.de/10012303979
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Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models
Blasques, Francisco - 2014
We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...
Persistent link: https://www.econbiz.de/10013049149
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Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
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Market potential, spatial dependences and spillovers in European regions
Bruna, Fernando; López Rodríguez, Jesús; Faíña, Andrés - In: Regional studies 50 (2016) 9, pp. 1551-1563
Persistent link: https://www.econbiz.de/10011709725
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The spillover effect on the CEE equity markets and the financial contagion In the context of financial integration
Boghicevici, Claudia; Stamule, Simona; Lolea, Iulian Cornel - In: Romanian journal of economic forecasting 24 (2021) 4, pp. 155-170
Persistent link: https://www.econbiz.de/10013407269