Detecting contagion in a multivariate time series system : an application to sovereign bond markets in Europe
Dominik Blatt, Bertrand Candelon, Hans Manner
| Year of publication: |
October 2015
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| Authors: | Blatt, Dominik ; Candelon, Bertrand ; Manner, Hans |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 59.2015, p. 1-13
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| Subject: | Contagion | Structural breaks | European sovereign debt crisis | Zeitreihenanalyse | Time series analysis | Schuldenkrise | Debt crisis | Öffentliche Anleihe | Public bond | EU-Staaten | EU countries | Eurozone | Euro area | Ansteckungseffekt | Contagion effect | Strukturbruch | Structural break | Rentenmarkt | Bond market | Öffentliche Schulden | Public debt | Finanzkrise | Financial crisis | Europa | Europe | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.06.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011544252