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Modeling Risk Convergence for European Financial Markets

Author

Listed:
  • Radu Lupu

    (Institute for Economic Forecasting, Romania)

  • Adrian Cantemir Calin

    (Institute for Economic Forecasting, Romania)

  • Iulia Lupu

    (“Victor Slãvescu” Centre for Financial and Monetary Research, Romanian Academy)

  • Oana Cristina Popovici

    (Institute for Economic Forecasting, Romania)

Abstract

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.

Suggested Citation

  • Radu Lupu & Adrian Cantemir Calin & Iulia Lupu & Oana Cristina Popovici, 2014. "Modeling Risk Convergence for European Financial Markets," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 2(3), pages 3-12, September.
    • Handle: RePEc:hyp:journl:v:2:y:2014:i:3:p:3-12
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    More about this item

    Keywords

    convergence; financial risk; Value-at-Risk; European Financial Markets;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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