A methodology for constructing a financial systemic stress index: An application to Greece

Economic Modelling

Volumn 29, Issue 4, 2012, Pages 1228-1241

  Louzis, Dimitrios P ^a,b   Vouldis, Angelos T ^a,c  

^a BANK OF GREECE   (Greece)

^b ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

^c UNIVERSITY OF ATHENS   (Greece)

Author keywords

Financial crisis; Multivariate GARCH; Stress index; Systemic stress

Indexed keywords

EID: 84860827820     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2012.03.017     Document Type: Article

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