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