Spillover dynamics for systemic risk measurement using spatial financial time series models

DOI10.1016/j.jeconom.2016.09.001zbMath1443.62331OpenAlexW1504714231MaRDI QIDQ337776

Francisco Blasques, Julia Schaumburg, Siem Jan Koopman, André Lucas

Publication date: 3 November 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1871.1/c9f6fb63-5a91-4825-9c42-ba213826622a

zbMATH Keywords

time-varying parameterssystemic riskspatial correlationEuropean debt crisisgeneralized autoregressive scores

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach ⋮ Missing observations in observation-driven time series models ⋮ Score-Driven Modeling of Spatio-Temporal Data ⋮ Fixed effects spatial panel data models with time-varying spatial dependence ⋮ Commercial and residential mortgage defaults: spatial dependence with frailty ⋮ Maximum likelihood estimation for score-driven models

Uses Software

• Arc_Mat

Cites Work

• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• Mutual excitation in Eurozone sovereign CDS
• Econometric issues in the analysis of contagion
• Spatial design matrices and associated quadratic forms: structure and properties
• CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns
• Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model
• Dynamic Models for Volatility and Heavy Tails
• Estimation Methods for Models of Spatial Interaction
• Filtering With Heavy Tails
• Information-theoretic optimality of observation-driven time series models for continuous responses
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models

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