Systemic risk in European financial and energy sectors : dynamic factor copula approach
Matěj Nevrla
| Year of publication: |
2020
|
|---|---|
| Authors: | Nevrla, Matěj |
| Published in: |
Economic systems. - Amsterdam [u.a.] : Elsevier, ISSN 0939-3625, ZDB-ID 1072886-7. - Vol. 44.2020, 4, p. 1-25
|
| Subject: | Credit default swap | Energy sector | Factor copula | Financial sector | Generalized autoregressive score model | Systemic risk | Multivariate Verteilung | Multivariate distribution | Energiewirtschaft | Systemrisiko | Kreditderivat | Credit derivative | Finanzsektor | Kreditrisiko | Credit risk | EU-Staaten | EU countries | Finanzkrise | Financial crisis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ecosys.2020.100820 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012593986