Sovereign contagion risk measure across financial markets in the eurozone : a bivariate copulas and Markov Regime Switching ARMA based approaches
Sawsen Bouker, Faysal Mansouri
| Year of publication: |
2022
|
|---|---|
| Authors: | Bouker, Sawsen ; Mansouri, Fayçal |
| Subject: | ARMA models | Copula's approach | Covid-19 pandemic | Markov switching regime | Pre-brexit | Sovereign risk contagion | Markov-Kette | Markov chain | Ansteckungseffekt | Contagion effect | Multivariate Verteilung | Multivariate distribution | Coronavirus | Schätzung | Estimation | Eurozone | Euro area | Länderrisiko | Country risk | Finanzmarkt | Financial market | ARMA-Modell | ARMA model | Zinsstruktur | Yield curve |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10290-021-00440-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014307166