Spillover dynamics for systemic risk measurement using spatial financial time series models
DOI10.1016/J.JECONOM.2016.09.001zbMATH Open1443.62331OpenAlexW1504714231MaRDI QIDQ337776FDOQ337776
Siem Jan Koopman, Francisco Blasques, Julia Schaumburg, André Lucas
Publication date: 3 November 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1871.1/c9f6fb63-5a91-4825-9c42-ba213826622a
spatial correlationsystemic riskEuropean debt crisisgeneralized autoregressive scorestime-varying parameters
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Econometric issues in the analysis of contagion
- Spatial design matrices and associated quadratic forms: structure and properties
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- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
- Dynamic models for volatility and heavy tails. With applications to financial and economic time series
- Mutual excitation in Eurozone sovereign CDS
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Cited In (10)
- Fast estimation of a large TVP-VAR model with score-driven volatilities
- Fixed effects spatial panel data models with time-varying spatial dependence
- Missing observations in observation-driven time series models
- Maximum likelihood estimation for score-driven models
- The varying spillover of U.S. systemic risk: a functional-coefficient cointegration approach
- Score-Driven Modeling of Spatio-Temporal Data
- Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach
- Detecting early warning signals of financial crisis in spatial endogenous credit model using patch-size distribution
- The spatial \textit{probit} model--an application to the study of banking crises at the end of the 1990's
- Commercial and residential mortgage defaults: spatial dependence with frailty
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