Modeling Risk Convergence for European Financial Markets
Radu Lupu (),
Adrian Cantemir Calin,
Iulia Lupu () and
Additional contact information
Iulia Lupu: “Victor Slãvescu” Centre for Financial and Monetary Research, Romanian Academy
Hyperion Economic Journal, 2014, vol. 2, issue 3, 3-12
This article studies the convergence of risk on a sample of 13 European indexes. We use a set of 31 model specifications of a significant number of models belonging to the GARCH class and on their estimates we build an aggregate index in a Value-at-Risk approach. We use this index as a base for our convergence analysis. The results indicate a positive and significant tendency of convergence growth for the European financial market.
Keywords: convergence; financial risk; Value-at-Risk; European Financial Markets (search for similar items in EconPapers)
JEL-codes: C58 G17 G15 (search for similar items in EconPapers)
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hyp:journl:v:2:y:2014:i:3:p:3-12
Access Statistics for this article
Hyperion Economic Journal is currently edited by Iulian Panait
More articles in Hyperion Economic Journal from Faculty of Economic Sciences, Hyperion University of Bucharest, Romania Hyperion University, Faculty of Economic Sciences, Calea Calarasilor no. 169, district 3, Bucharest, 030615, Romania. Contact information at EDIRC.
Series data maintained by Iulian Panait ().