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Identification through heteroskedasticity

Rigobón, Roberto - In: The review of economics and statistics 85 (2003) 4, pp. 777-792

Persistent link: https://www.econbiz.de/10001830036

Sovereign risk and the impact of crisis : evidence from Latin America

Batten, Jonathan A.; Gannon, Gerard L.; Thuraisamy, … - In: Journal of banking & finance 77 (2017), pp. 328-350

Persistent link: https://www.econbiz.de/10011814792

Modeling sovereign credit default swaps volatility at different tenures : an application for Latin American countries

Gamboa-Estrada, Fredy; Romero, José Vicente - In: Borsa Istanbul Review 24 (2024) 4, pp. 772-786

Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for macroeconomic policymakers and market practitioners. This study analyzes the main determinants of sovereign credit default swaps (SCDS) in Latin America at different tenures,...

Persistent link: https://www.econbiz.de/10014635386

Interest rate risk of bond prices on Macedonian Stock Exchange - empirical test of the duration, modified duration and convexity and bonds valuation

Ivanovski, Zoran; Stojanovski, Toni Draganov; … - In: Economic research 26 (2013) 3, pp. 47-62

Persistent link: https://www.econbiz.de/10010196415

Extracting implied volatilities from bank bonds

Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 23 (2023) 7/8, pp. 1177-1197

Persistent link: https://www.econbiz.de/10014321670

A structural approach to estimate short-term and long-term country default risk from market data : the case of Argentina 2000/2001

Maltritz, Dominik - In: Review of economics 64 (2013) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10009769795

Credit risk-free sovereign bonds under Solvency II : a cointegration analysis with consistently estimated structural breaks

Ludwig, Alexander - In: Applied financial economics 24 (2014) 10/12, pp. 811-823

Persistent link: https://www.econbiz.de/10010402551

Systemic risk and the sovereign-bank default nexus : a network vector autoregression approach

Claeys, Peter; Vašíček, Bořek - In: The journal of network theory in finance 1 (2015) 4, pp. 27-72

Persistent link: https://www.econbiz.de/10011449789

A VAR-based factor decomposition to the term structure of treasury bonds

Zhao, Mengxue; Xie, Dejun; Edwards, David A.; Liu, Yujian - In: International journal of monetary economics and finance … 15 (2022) 6, pp. 585-613

Persistent link: https://www.econbiz.de/10014320543

Sovereign risk premia in the Euro Area and the role of contagion

Linciano, Nadia; Giordano, Luca; Soccorso, Paola - In: Journal of financial management, markets and institutions 1 (2013) 1, pp. 85-114

Persistent link: https://www.econbiz.de/10011949545

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