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Intraday dynamics of euro area sovereign credit risk contagion

Komárek, Luboš; Ters, Kristyna; Urban, Jörg - 2016

Persistent link: https://www.econbiz.de/10011535645

Sovereign credit risk dynamics in the European Monetary Union (EMU)

Patra, Theophano; Poshakwale, Sunil S.; Thomas, Vassilis - In: Applied financial economics 24 (2014) 13/15, pp. 1031-1041

Persistent link: https://www.econbiz.de/10010415304

Sovereign and bank CDS spreads : two sides of the same coin?

Avino, Davide; Cotter, John - In: Journal of international financial markets, … 32 (2014), pp. 72-85

Persistent link: https://www.econbiz.de/10011299805

The risk structural of European sovereign credit default swap before and after in European periphery countries

Tellalbaşı, Işıl - In: International journal of economics and finance 6 (2014) 1, pp. 165-182

Persistent link: https://www.econbiz.de/10010236860

Mutual excitation in eurozone sovereign CDS

Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - 2014 - This Version: May 14, 2014

We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting …

Persistent link: https://www.econbiz.de/10010357304

Measuring connectedness of Euro area sovereign risk

Gätjen, Rebekka; Schienle, Melanie - 2015

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...

Persistent link: https://www.econbiz.de/10010503874