TY  - RPRT
AU  - Ojea Ferreiro, Javier
PY  - 2018
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17429
AB  - I examine the evolution of contagion indexes between the European financial sector and the sovereign sector (Austria, Belgium, France, Germany, Italy, Netherlands and Spain) during the European sovereign credit crisis. Contagion indexes, Delta CoVaR...
LA  - eng
KW  - CoVaR
KW  - Copula
KW  - European sovereign credit crisis
KW  - systemic risk.
TI  - Contagion spillovers between sovereign and financial European sector from a Delta CoVaR approach
TY  - technical report
VL  - 2018
ER  -