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Systemic Risk Monitoring in Europe: Mapping Financial Contagion with Block-Level Dynamics

https://doi.org/10.2139/ssrn.5369260
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Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
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Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
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A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk
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Dynamic Hierarchical Factor Models
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The Adaptive Lasso and Its Oracle Properties
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Factor Network Autoregressions
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