Bank Volatility Connectedness in South East Asia
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- Raisul Islam & Vladimir Volkov, 2022. "Contagion or interdependence? Comparing spillover indices," Empirical Economics, Springer, vol. 63(3), pages 1403-1455, September.
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More about this item
Keywords
Systemic risk; Connectedness; Network; Global Systemically Important Banks; Vector Autoregression; Variance Decomposition; South East Asia.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2018-03-26 (Banking)
- NEP-SEA-2018-03-26 (South East Asia)
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