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Measuring financial contagion and spillover effects with a state-dependent sensitivity value-at-risk model

Andrieş, Alin Marius; Galasan, Elena - In: Risks 8 (2020) 1, pp. 1-20

In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with …

Persistent link: https://www.econbiz.de/10013200541

Measuring financial contagion and spillover effects with a state-dependent sensitivity value-at-risk model

Andrieş, Alin Marius; Galasan, Elena - In: Risks : open access journal 8 (2020) 1/5, pp. 1-20

In this paper, we measure the size and the direction of the spillover effects among European commercial banks, with …

Persistent link: https://www.econbiz.de/10012204323

Parametric and nonparametric Malmquist productivity decomposition: a case study of European commercial banks

Olgu, Ozlem; Weyman-Jones, Thomas G. - In: International Journal of Business Performance Management 10 (2008) 4, pp. 344-365

We investigated the productivity disparities of the small commercial banks of old European Union member countries (EU-12) and new European Union member countries (EU-10) over the 1997â€“2001 period in this study. Bank categorisation and comparison is based on banks' total assets size and...

Persistent link: https://www.econbiz.de/10011130135