...Panagiotis Tzouvanas Purpose This paper sheds light on the impact of market risk measures on systemic risk. Market risk, which is captured by the volatility of stock market returns, is also decomposed into systematic and idiosyncratic risks. Design/methodology/approach The author uses the five...

... Limited Licensed re-use rights only Anti-corruption Systematic risk Idiosyncratic risk Volatility spillovers G14 G15 G38 Subsequently, we design a nonlinear model to identify the dynamic transmission of volatility spillovers across different batches. A multiplicative error model...