correlations that ensure that uncertainty and risk dependence can increase in times of stress. We apply the framework to euro area … sovereign CDS spreads during the euro area debt crisis. Our results reveal significant time-variation in distress dependence and …

We propose a novel empirical framework to assess the likelihood of joint and conditional failure for Euro area … correlations to ensure that failure dependence can increase in times of stress. We apply the framework to Euro area sovereign CDS … Euro area heads of state on May 9, 2010, and demonstrate the importance of capturing higher-order time-varying moments …

We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European … absorbed by their sovereigns but spilled over to non-stressed euro area sovereigns. As a result, in non-stressed countries, the … shared within the euro area …

correlations that ensure that uncertainty and risk dependence can increase in times of stress. We apply the framework to euro area … sovereign CDS spreads during the euro area debt crisis. Our results reveal significant time-variation in distress dependence and …

We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European … absorbed by their sovereigns but spilled over to non-stressed euro area sovereigns. As a result, in non-stressed countries, the … shared within the euro area …

We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European … absorbed by their sovereigns but spilled over to non-stressed euro area sovereigns. As a result, in non-stressed countries, the … shared within the euro area. …