SYRTO Working Paper Series: Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models

A new SYRTO Working Paper by Francisco Blasques, Siem Jan Koopman, Andre Lucas and Julia Schaumburg is now available online.

The authors introduce a new model for time-varying spatial dependence adopted to empirically investigate the spatial dependence between eight European sovereign CDS spreads over the period 2009–2014, which includes the European sovereign debt crisis.