Alter, Adrian; Beyer, Andreas - In: Journal of Banking & Finance 42 (2014) C, pp. 134-153
In this paper we modify and extend the framework of Diebold and Yilmaz (2011) to quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector autoregressive model of daily changes in credit default swap (CDS) spreads with...