出版社：Faculty of Economic Sciences, Hyperion University of Bucharest, Romania
摘要：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.
关键词：convergence; financial risk; Value-at-Risk; European Financial Markets
