Systemic risk in European financial and energy sectors: Dynamic factor copula approach-Reference-Cited by-同舟云学术

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Systemic risk in European financial and energy sectors: Dynamic factor copula approach

Published:2020-12 Issue:4 Volume:44 Page:100820
ISSN:0939-3625
Container-title:Economic Systems
language:en
Short-container-title:Economic Systems

Author:

Nevrla Matěj^ORCID

Funder

Czech Science Foundation

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference35 articles.

1. Covar: a method for macroprudential regulation;Adrian;Federal Reserve Bank of New York Staff Report,2009

2. Where the risks lie: A survey on systemic risk;Benoit;Review of Finance,2017

3. Srisk: A conditional capital shortfall index for systemic risk measurement;Brownlees,2015

4. A simple robust link between american puts and credit protection;Carr;The Review of Financial Studies,2010

5. Financialization of commodity markets;Cheng;Annu. Rev. Financ. Econ.,2014

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3. Improving the accuracy of predictions in multivariate time series using dynamic vine copulas;International Journal of General Systems;2024-05-28

4. China's risk contagion using the mixed-frequency macro-financial network;Economic Systems;2024-03

5. A Study of Systemic Financial Risk Prediction Models in the Insurance Industry;Applied Mathematics and Nonlinear Sciences;2024-01-01

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