Economics at your fingertips  

Modeling Risk Convergence for European Financial Markets

Radu Lupu (), Adrian Cantemir Calin, Iulia Lupu and Oana Popovici

Hyperion Economic Journal, 2014, vol. 2, issue 3, 3-12

Abstract: 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)
Date: 2014
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

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.
Bibliographic data for series maintained by Iulian Panait ().

Page updated 2019-06-17
Handle: RePEc:hyp:journl:v:2:y:2014:i:3:p:3-12