Modelling correlation dynamics of EMU sovereign debt markets during the recent turmoil
Vassilios Babalos, Stavros Stavroyiannis
| Year of publication: |
December 2017
|
|---|---|
| Authors: | Babalos, Vassilios ; Stavroyiannis, Stavros |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 42.2017, p. 1021-1029
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| Subject: | Sovereign credit markets | Asymmetric dynamic conditional correlation | Sovereign debt crisis | Panel analysis | Eurozone | Euro area | Korrelation | Correlation | Schuldenkrise | Debt crisis | Öffentliche Schulden | Public debt | Rentenmarkt | Bond market | Öffentliche Anleihe | Public bond | Länderrisiko | Country risk | Finanzkrise | Financial crisis | ARCH-Modell | ARCH model | EU-Staaten | EU countries | Volatilität | Volatility | Kreditmarkt | Credit market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2017.07.038 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011760639