Volatility Connectedness of Bank Stocks Across the Atlantic
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More about this item
KeywordsRisk measurement; systemic risk; connectedness; systemically important financial institutions; vector autoregression; variance decomposition;
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- G2 - Financial Economics - - Financial Institutions and Services
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ACC-2014-02-08 (Accounting & Auditing)
- NEP-ALL-2014-02-08 (All new papers)
- NEP-BAN-2014-02-08 (Banking)
- NEP-RMG-2014-02-08 (Risk Management)
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