Sovereign risk matters : endogenous default risk and the time-varying volatility of interest rate spreads
Sergio de Ferra, Enrico Mallucci
| Year of publication: |
2022
|
|---|---|
| Authors: | De Ferra, Sergio ; Mallucci, Enrico |
| Published in: |
Journal of international economics. - Amsterdam [u.a.] : Elsevier, ISSN 0022-1996, ZDB-ID 120143-8. - Vol. 134.2022, p. 1-21
|
| Subject: | Sovereign risk | time-varying volatility | interest rate spreads | Zinsstruktur | Yield curve | Volatilität | Volatility | Länderrisiko | Country risk | Risikoprämie | Risk premium | Kreditrisiko | Credit risk | Öffentliche Anleihe | Public bond |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: Volume 137,July 2022 |
| Other identifiers: | 10.1016/j.jinteco.2021.103542 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013366480