Modeling Risk Convevergence for European Financial Markets

Keywords: convergence , financial risk , Value-at-Risk , European Financial Markets

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Authors:
  • Radu Lupu, Affiliation: Institute for Economic Forecasting, Bucharest, Romania;
  • Adrian Cantemir Călin, Affiliation: Institute for Economic Forecasting, Bucharest, Romania;
  • Iulia Lupu, Affiliation: "Victor Slăvescu" Centre for Financial and Monetary Research, Bucharest, Romanian Academy;
  • Oana Cristina Popovici, Affiliation: Institute for Economic Forecasting, Bucharest, Romania.
Pages:  3 : 12
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.

JEL classification:  C58, G17, G15

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