Modeling Risk Convergence for European Financial Markets
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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Faculty of Economic Sciences, Hyperion University, Bucharest, Romania
2014-09-01
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| Series: | Hyperion Economic Journal |
| Subjects: | |
| Online Access: | http://hej.hyperion.ro/articles/3(2)_2014/HEJ%20nr3(2)_2014_A1Lupu.pdf |
| Summary: | 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 |
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| ISSN: | 2343-7995 2343-7995 |