Contagion spillovers between sovereign and financial European sector from a Delta CoVaR approach
Author
Abstract
Suggested Citation
Download full text from publisher
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Ojea Ferreiro, Javier, 2020.
"Disentangling the role of the exchange rate in oil-related scenarios for the European stock market,"
Energy Economics, Elsevier, vol. 89(C).
- Ojea Ferreiro, Javier, 2019. "Disentangling the role of the exchange rate in oil-related scenarios for the European stock market," Working Paper Series 2296, European Central Bank.
- Javier Ojea-Ferreiro, 2021.
"Deconstructing Systemic Risk: A Reverse Stress Testing Approach,"
Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 369-375,
Springer.
- Javier Ojea-Ferreiro, 2021. "Deconstructing systemic risk: A reverse stress testing approach," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Ferreiro Javier Ojea, 2019. "Structural change in the link between oil and the European stock market: implications for risk management," Dependence Modeling, De Gruyter, vol. 7(1), pages 53-125, January.
More about this item
Keywords
CoVaR; Copula; European sovereign credit crisis; systemic risk.;All these keywords.
JEL classification:
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2018-07-23 (Corporate Finance)
- NEP-EEC-2018-07-23 (European Economics)
- NEP-RMG-2018-07-23 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucm:doicae:1812. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/feucmes.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Águeda González Abad (email available below). General contact details of provider: https://edirc.repec.org/data/feucmes.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.