Systemic risk in European sovereign debt markets: A CoVaR-copula approach
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DOI: 10.1016/j.jimonfin.2014.12.002
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Keywords
Value at risk; Conditional value at risk; Systemic risk; Copulas; Eurozone debt crisis;JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G01 - Financial Economics - - General - - - Financial Crises
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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