Spillover dynamics for systemic risk measurement using spatial financial time series models-Reference-Cited by-同舟云学术

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Spillover dynamics for systemic risk measurement using spatial financial time series models

Published:2016-12 Issue:2 Volume:195 Page:211-223
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Blasques Francisco,Koopman Siem Jan,Lucas Andre,Schaumburg Julia

Funder

Dutch Science Foundation

CREATES, Center for Research in Econometric Analysis of Time Series

Danish National Research Foundation

Deutsche Forschungsgemeinschaft

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference45 articles.

1. A pyrrhic victory? Bank bailouts and sovereign credit risk;Acharya;J. Finance,2014

2. The “greatest” carry trade ever? Understanding eurozone bank risks;Acharya;J. Financ. Econ.,2015

3. Mutual excitation in European sovereign cds;Ait-Sahalia;J. Econometrics,2014

4. Systemic sovereign risk: Lessons from the U.S. and Europe;Ang;J. Monetary Econ.,2013

5. Spatial Econometrics: Methods and Models;Anselin,1988

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