spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …

connectedness measures find distinct and complementary information from CDS and bond yield data on European area sovereign risk. The … detection and use of these second moment di erences of CDS and bond data is new to the literature and allows to identify …

(CDS) and bond data. The connectedness measure is based on an out-of-sample variance decomposition of model forecast errors … determine sovereign default risk connectedness with both CDS and bond data for a more comprehensive picture of the system. We …