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Sovereign bond spreads and CDS premia in the Eurozone : a causality analysis
Téllez, Cecilia; Martín García, Margarita; Ramón … - In: Revista de métodos cuantitativos para la economía y … 30 (2020), pp. 58-78
separately or by taking into account the joint evolution of their values. The data refer to ten countries in the Eurozone along …
Persistent link: https://www.econbiz.de/10012436652
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Liquidity spillovers in sovereign bond and CDS markets : an analysis of the Eurozone sovereign debt crisis
Calice, Giovanni; Chen, Jing; Williams, Julian - In: Journal of economic behavior & organization : JEBO 85 (2013) 1, pp. 122-143
Persistent link: https://www.econbiz.de/10009708778
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The eurozone financial crisis : role of interdependencies between bank and sovereign risk
Barth, James R.; Prabha, Apanard; Yun, Greg - In: Journal of financial economic policy 4 (2012) 1, pp. 76-97
Persistent link: https://www.econbiz.de/10009547141
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Eurozone sovereign contagion : evidence from the CDS market ; 2005 - 2010
Kalbaska, A.; Gątkowski, M. - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 657-673
Persistent link: https://www.econbiz.de/10009697968
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Measuring connectedness of euro area sovereign risk
Buse, Rebekka; Schienle, Melanie - In: International journal of forecasting 35 (2019) 1, pp. 25-44
Persistent link: https://www.econbiz.de/10012300572
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What's mine is yours : sovereign risk transmission during the European Debt Crisis
Greenwood-Nimmo, Matthew; Viet Hoang Nguyen; Shin, Yongcheol - 2017
Persistent link: https://www.econbiz.de/10011699096
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Sovereign and bank interdependencies : evidence from the CDS market
Yu, Sherry - In: Research in international business and finance 39 (2017), pp. 68-84
Persistent link: https://www.econbiz.de/10011876438
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Measuring connectedness of euro area sovereign risk
Buse, Rebekka; Schienle, Melanie - 2019
We introduce a method for measuring default risk connectedness of euro zone sovereign states using credit default swap (CDS) and bond data. The connectedness measure is based on an out-of-sample variance decomposition of model forecast errors. Due to its predictive nature, it can respond more...
Persistent link: https://www.econbiz.de/10011958223
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Sovereign probabilities of default in the euro area
Jobst, Rainer - In: The journal of credit risk : published quarterly by … 18 (2022) 4, pp. 65-91
Persistent link: https://www.econbiz.de/10014247866
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Regime-dependent sovereign risk pricing during the euro crisis
Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2016
panel smooth threshold regression model quantify and explain them: 1) investors have penalized a deterioration of …
Persistent link: https://www.econbiz.de/10011974869