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14-107/III - Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models


  • Authors
    Francisco Blasques; Siem Jan Koopman; Andre Lucas; Julia Schaumburg, VU University Amsterdam
  • Publication date
    August 14, 2014
  • Keywords
    Spatial correlation, time-varying parameters, systemic risk, European debt crisis, generalized autoregressive score
  • JEL
    C13, C32, C53, E17