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Measuring systemic risk contribution of global stock markets : a dynamic tail risk network approach
Wang, Ze; Gao, Xiangyun; Huang, Shupei; Sun, Qingru; … - In: International review of financial analysis 84 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013472796
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Conditional systemic risk with penalized copula
Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015
Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...
Persistent link: https://www.econbiz.de/10011309638
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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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Return spillovers around the globe : a network approach
Lyócsa, Štefan; Výrost, Tomáš; Baumöhl, Eduard - In: Economic modelling 77 (2019), pp. 133-146
Persistent link: https://www.econbiz.de/10012198452
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Option-implied network measures of tail contagion and stock return predictability
Pedio, Manuela - 2021
Persistent link: https://www.econbiz.de/10012521637
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Asymmetric semi-volatility spillover effects in EMU stock markets
Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230
Persistent link: https://www.econbiz.de/10012006352
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Return and volatility spillovers to industry returns : does EMU play a role?
Kaltenhäuser, Bernd - 2002
Persistent link: https://www.econbiz.de/10001718829
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Return and volatility spillovers to industry returns : does EMU play a role?
Kaltenhäuser, Bernd - 2002
Within a two step GARCH framework we estimate the time-varying spillover effects from European and US return innovations to 10 economic sectors within the euro area, the United States, and the United Kingdom. We use daily data from January 1988 - March 2002. At the beginning of our sample...
Persistent link: https://www.econbiz.de/10009767119
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Intra-EMU and non-EMU, EU stock markets' return spillover : evidence from ESDC
Qarni, Muhammad Owais; Gulzar, Saqib - In: Empirica : journal of european economics 47 (2020) 3, pp. 543-577
Persistent link: https://www.econbiz.de/10012289231
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Systemic Risk Spillovers Between Stock Returns of the Banking and Financial Sectors : Evidence from Developed and Emerging Europe
Hanif, Waqas; Mensi, Walid; Arreola Hernández, José; … - 2023
In financial markets, the risk of one bank can spill over into the risk of another. Risk contagion is more common when … copulas with time-varying parameters and the Conditional Value-at-Risk (CoVaR) method, utilising data from the bank stock … portfolios, which comprises banks. Notably, the Commerz bank and BNP Paribas, both from developed Europe, demonstrated the most …
Persistent link: https://www.econbiz.de/10014358307