This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally stems from spatial econometrics. The methodology allows...

The aim of this paper is to introduce a new model selection mechanism for cross sectional spatial models. This method is more fexible than the approach proposed by Florax et al. (2003) since it controls for spatial dependence as well as for spatial heterogeneity. In particular, Bayesian and...