Work

Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR

Year: 2012

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2013.02.027

Authors: Giulio Girardi, A. Tolga Ergün

Institutions: United States Securities and Exchange Commission, State Street (United States)

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3121823203

FWCI: 23.14

Cites: 34

Cited by: 655

Related to: 10