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Financial Econometrics and Systemic Risk

In: Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics

Author

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  • M. Hakan Eratalay

    (University of Tartu)

Abstract

In this chapter, some of the many prominent and recent papers in the systemic risk literature are reviewed. In all these papers, financial econometrics methods are used whether to extract the connections between institutions or assets by analyzing the related data or to construct a measure of systemic risk. There are many published survey papers on systemic risk. However, there is still a gap for research whose focus is particularly on the econometric methods behind the calculation of systemic risk indicators. This chapter is an attempt to contribute to filling this gap.

Suggested Citation

  • M. Hakan Eratalay, 2021. "Financial Econometrics and Systemic Risk," Springer Books, in: Burcu Adıgüzel Mercangöz (ed.), Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, edition 1, pages 65-91, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-54108-8_3
    DOI: 10.1007/978-3-030-54108-8_3
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    Cited by:

    1. Mustafa Hakan Eratalay & Ariana Paola Cortés Ángel, 2022. "The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms," JRFM, MDPI, vol. 15(4), pages 1-41, March.

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