In the present work, we analyze the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis, we assume that the stock quotations of insurance companies reflect market sentiments, which constitute a very important systemic risk factor....

This work is a response to the EIOPA paper entitled "Systemic risk and macroprudential policy in insurance", which asserts that in order to evaluate the potential systemic risk (SR), the build-up of risk, especially risk arising over time, should be taken into account, as well as the...

This work is a response to the EIOPA paper entitled "Systemic risk and macroprudential policy in insurance", which asserts that in order to evaluate the potential systemic risk (SR), the build-up of risk, especially risk arising over time, should be taken into account, as well as the...

Objective: The objective of this article is to study the correlations between the most important European insurers and their participation in systemic risk in the insurance sector. We compare systemic risk in different market regimes. Research Design & Methods: We use statistical clustering...

The aim of the paper is to analyse the conditional dependence structure between precious metal returns using a copula-DCC-GARCH approach. Conditional correlation matrices are used to identify the states of the precious metals market by assuming that a given state of the market corresponds to a...

The aim of the paper is to investigate dynamic linkages between the main European stock markets and two commodity prices: crude oil and gold. For the empirical analysis we use daily data from the period January 2, 1998 to June 30, 2014. To investigate Granger causality a nonparametric test based...

The purpose of this paper is to investigate causal relations between the insurance market development and economic growth in ten transition European Union member countries in the period between 1993 and 2013. The analysis is conduced with the use of bootstrap panel causality approach proposed by...