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• W4386475300 abstract "We estimate the risk spillover among European banks from equity log-return data via Conditional Value at Risk (CoVaR). The joint dynamic of returns is modeled with a spatial DCC-GARCH which allows the conditional variance of log-returns of each bank to depend on past volatility shocks to other banks and their past squared returns in a parsimonious way. The backtesting of the resulting risk measures provides evidence that (i) the multivariate GARCH model with Student’s t distribution is more accurate than both the standard multivariate Gaussian model and the Filtered Historical Simulation (FHS), and (ii) the introduction of a spatial component improves the assessment of risk profiles and the market risk spillovers." @default.
• W4386475300 created "2023-09-07" @default.
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• W4386475300 date "2023-09-06" @default.
• W4386475300 modified "2023-09-27" @default.
• W4386475300 title "Spatial Multivariate GARCH Models and Financial Spillovers" @default.
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• W4386475300 doi "https://doi.org/10.3390/jrfm16090397" @default.
• W4386475300 hasPublicationYear "2023" @default.
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