Does sovereign risk impact banking risk in the Eurozone? Evidence from the COVID-19 pandemic
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DOI: 10.1016/j.frl.2021.102670
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Cited by:
- Cecilia Ciocîrlan & Andreea Popescu-Crețulescu & Andreea Mădălina Stancea, 2024. "European Financial Markets Exposed to Exogenous Shocks: Communication Dynamics Among Investors and Tech Models to Detect Financial Contagion," Journal of Financial Studies, Institute of Financial Studies, vol. 16(9), pages 81-95, May.
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More about this item
Keywords
Banking risk; Sovereign risk; COVID-19; VARX models; BEKK-GARCH models;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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