Measuring the risk of institutional change in European financial markets

Wenjiang Jiang and Zhenyu Wu

Journal of Risk Management in Financial Institutions, 2009, vol. 2, issue 4, 343-352

Abstract: Using a quantile function-based time series model, this paper illustrates a risk measurement to characterise the effects of institutional changes in major European financial markets. The paper presents examples based on major market indices to further address the influences behind the establishment of the European Central Bank. As this model allows more flexibility than classic generalised autoregressive conditionally heteroskedastic (GARCH) models, its validity and robustness are analysed theoretically and illustrated empirically through comparisons with multivariate GARCH models.

Keywords: risk; institutional effect; European markets (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:aza:rmfi00:y:2009:v:2:i:4:p:343-352

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