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European Sovereign CDS Premia during the Crisis – A Cointegration Analysis

Schmidt, Alexander - 2013

In this paper, I use multivariate time series models in order to analyze the evolution of European Sovereign CDS spreads during the recent crisis. I ﬁnd evidence that sovereigns' credit risk premia are non-stationary but cointegrated with simple measures of the countries' indebtedness and the...

Persistent link: https://www.econbiz.de/10013078906

Media attention vs. sentiment as drivers of conditional volatility predictions : an application to Brexit

Guidolin, Massimo; Pedio, Manuela - 2020

coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of …

Persistent link: https://www.econbiz.de/10012487265

Inflation co-movement across countries in multi-maturity term structure : an arbitrage-free approach

Chen, Shi; Härdle, Wolfgang; Wang, Weining - 2015

Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage-free model across different countries in a...

Persistent link: https://www.econbiz.de/10011389060

A Hawkes model of the transmission of European sovereign default risk

Dumitru, Ana-Maria H.; Holden, Tom D. - 2017

using credit default swap prices. Unlike the prior literature, we are able to perform this estimation via maximum likelihood …

Persistent link: https://www.econbiz.de/10011730365

Quantifying the transmission of European sovereign default risk

Dumitru, Ana-Maria H.; Holden, Tom D. - 2019

our period without shocks elsewhere. Our novel maximum-likelihood procedure permits tractable estimation of high …

Persistent link: https://www.econbiz.de/10012063227

Transition versus physical climate risk pricing in European financial markets : a text-based approach

Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022

We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence of climate risk premia. Results suggest that climate risk...

Persistent link: https://www.econbiz.de/10013271146

Liquidity or Volatility? Disentangling the Sources of Spillovers in Euro Area Sovereign Bond Markets

Nguyen, Giang - 2018

This paper examines the propagation of volatility and liquidity shocks across major sovereign bond markets during the … autoregressive model, which captures jointly the dynamics of liquidity and volatility in the government bond markets of Belgium … volatility dynamics in an analysis of spillovers beyond a traditional volatility spillover framework …

Persistent link: https://www.econbiz.de/10012909883

Integration of European Bond Markets

Christiansen, Charlotte - 2014

I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU...

Persistent link: https://www.econbiz.de/10013065853

Shocks Implication on the Fundamental Drivers of Pan-European Equity Reits : Volatility Connectedness

Nassili, Naoufal - 2019

is to unravel the mystery around the existing volatility spillovers among equity REITs. The econometric modelisation is … Barunik & Krehlik. Exchange-listed equity REITs have complex patterns of volatility since they are the nexus of two markets …

Persistent link: https://www.econbiz.de/10012864336

A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model

Ge, Shuyi - 2022

This paper proposes a new mutual exciting regime-switching model where crises can spread contagiously across countries. Each country has its own hidden stochastic process that determines whether it is in a normal or crisis regime. The mutual-excitation component allows interactions in the Markov...

Persistent link: https://www.econbiz.de/10013491593