A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
Year of publication: |
2023
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Authors: | Ge, Shuyi |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 146.2023, p. 1-30
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Subject: | Contagion | Inter-dependence | Regime-switching | Mutual excitation | Sovereign credit risk | Länderrisiko | Country risk | Ansteckungseffekt | Contagion effect | Eurozone | Euro area | Kreditrisiko | Credit risk | Finanzkrise | Financial crisis | Schock | Shock | Welt | World | Öffentliche Anleihe | Public bond | Markov-Kette | Markov chain |
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