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on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more …
Persistent link: https://www.econbiz.de/10013098478
on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more …
Persistent link: https://www.econbiz.de/10012460156
on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more …
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This paper proposes a general statistical framework for systemic financial stress indexes. Several existing index designs can be represented as special cases. We introduce a daily variant of the ECB's CISS for the euro area and the US. The CISS aggregates a representative set of stress...
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This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and the EU member countries. The results show that in the early stages of the US financial crisis in 2007 and 2008, the direction of the volatility connectedness was from the US...
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