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Detecting contagion in a multivariate time series system : an application to sovereign bond markets in Europe

Blatt, Dominik; Candelon, Bertrand; Manner, Hans - In: Journal of banking & finance 59 (2015), pp. 1-13

Persistent link: https://www.econbiz.de/10011544252

How are market preferences shaped? The case of sovereign debt of stressed euro-area countries

Mamatzakis, Emmanuel C.; Tsionas, Efthymios G. - In: Journal of banking & finance 61 (2015), pp. 106-116

Persistent link: https://www.econbiz.de/10011545149

The IMF to the rescue : did the euro area benefit from the fund's experience in crisis fighting?

Dullien, Sebastian; Fritz, Barbara; Mühlich, Laurissa - 2016

’s handling of the euro crisis. We link models of multiple equilibria with the IMF's experience made in Latin American crises in …

Persistent link: https://www.econbiz.de/10011548057

Searching high and low : extremal dependence of international sovereign bond markets

Basrak, Bojan; Posedel Šimović, Petra; Tkalec, Marina; … - 2016

Persistent link: https://www.econbiz.de/10011548160

Euro area sovereign debt crisis and debt mutualisation

Afonso, António; Alcântara, Marcelo - 2016

Persistent link: https://www.econbiz.de/10011549292

Revisiting sovereign bond spreads' determinants in the EMU

Afonso, António; Reis, Manuel - 2016

Persistent link: https://www.econbiz.de/10011549478

Does local and Euro area sentiment matter for sovereign debt markets? : evidence from a bailout country

Fernandes, Carla Manuela da Assunção; Gonçalves, … - In: Applied economics 48 (2016) 7/9, pp. 816-834

Persistent link: https://www.econbiz.de/10011414055

Dynamics of the European sovereign bonds and the identification of crisis periods

Chen, Zhenxi; Reitz, Stefan - 2016 - Version: Dec 2015

We develop an empirical model of heterogeneous agents to study the dynamics of the European sovereign bonds market. Agents make use of different information from the CDS market and the historical price movements of the sovereign bonds for their trading decisions. Subject to the perceived risk,...

Persistent link: https://www.econbiz.de/10011415549

Rating sovereign debt in a monetary union : original sin by transnational governance

Marten Körner, Finn; Trautwein, Hans-Michael - In: Journal of risk finance : the convergence of financial … 16 (2015) 3, pp. 253-283

Persistent link: https://www.econbiz.de/10011418177

Dealer intermediation between markets

Dunne, Peter G.; Hau, Harald; Moore, Michael J. - In: Journal of the European Economic Association 13 (2015) 5, pp. 770-804

Persistent link: https://www.econbiz.de/10011419354