Article ID Journal Published Year Pages File Type
5055297 Economic Modelling 2012 14 Pages PDF
Abstract
► We develop a financial systemic stress index (FSSI) for Greece. ► The level of systemic stress is quantified by implementing a Multivariate GARCH. ► Both market and balance sheet data are utilized. ► The evaluation of the index is based on survey for financial crisis in Greece. ► Compared with alternative indices the FSSI provides precise periodization of crises.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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A methodology for constructing a financial systemic stress index: An application to Greece
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