Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our...

This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by exploring a novel dimension of systemic risk: loss...