A financial systemic stress index for Greece

Dimitrios Louzis and Angelos Vouldis

No 1563, Working Paper Series from European Central Bank

Abstract: The paper develops a financial systemic stress index (FSSI) for Greece. We present a methodology for constructing and evaluating a systemic stress index which: i) adopts the suggestion of Hollo et al. (2012) [Hollo, Kremer, and Lo Duca (2012) JEL Classification: G01, G10, G20, E44

Keywords: financial crisis; multivariate GARCH; stress index; systemic stress (search for similar items in EconPapers)
Date: 2013-07
New Economics Papers: this item is included in nep-cba and nep-rmg
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Working Paper: A financial systemic stress index for Greece (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20131563

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