Henri Audigé - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013
The objective of this paper is to gauge how and to which extent the surge in Greek sovereign bond rates in 2010 and 2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth Transition Conditional Correlation GARCH models...