Modeling Risk Convergence for European Financial Markets
Radu Lupu (),
Adrian Cantemir Calin,
Iulia Lupu and
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)
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Persistent link: https://EconPapers.repec.org/RePEc:hyp:journl:v:2:y:2014:i:3:p:3-12
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