Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies' Downgrades
Year of publication: |
2012
|
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Authors: | Antonakakis, Nikolaos |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Government bond yield spreads | credit rating agencies | dynamic conditional correlations | Euro zone sovereign debt crisis |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | C32 - Time-Series Models ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing ; G24 - Investment Banking; Venture Capital; Brokerage |
Source: |
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