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Measuring the risk of institutional change in European financial markets

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  • Jiang, Wenjiang
  • Wu, Zhenyu

Abstract

Using a quantile function-based time series model, this paper illustrates a risk measurement to characterise the effects of institutional changes in major European financial markets. The paper presents examples based on major market indices to further address the influences behind the establishment of the European Central Bank. As this model allows more flexibility than classic generalised autoregressive conditionally heteroskedastic (GARCH) models, its validity and robustness are analysed theoretically and illustrated empirically through comparisons with multivariate GARCH models.

Suggested Citation

  • Jiang, Wenjiang & Wu, Zhenyu, 2009. "Measuring the risk of institutional change in European financial markets," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 2(4), pages 343-352, September.
    • Handle: RePEc:aza:rmfi00:y:2009:v:2:i:4:p:343-352
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    More about this item

    Keywords

    risk; institutional effect; European markets;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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