Systemic risk in European sovereign debt markets: A CoVaR-copula approach

Journal of International Money and Finance

Volumn 51, Issue , 2015, Pages 214-244

  Reboredo, Juan C ^a   Ugolini, Andrea ^a  

^a UNIVERSITY OF SANTIAGO DE COMPOSTELA   (Spain)

Author keywords

Conditional value at risk; Copulas; Eurozone debt crisis; Systemic risk; Value at risk

Indexed keywords

EID: 84919935785     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2014.12.002     Document Type: Article

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