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Greek sovereign bond index, volatility, and structural breaks

Tamakoshi, Go; Hamori, Shigeyuki - In: Journal of economics and finance 38 (2014) 4, pp. 687-697

Persistent link: https://www.econbiz.de/10011333815

Transparent and Unique Sovereign Default Risk Assessment

Altman, Edward I.; Rijken, Herbert A. - In: The Oxford handbook of economic and institutional …. 2014

Persistent link: https://www.econbiz.de/10013476611

Sovereign default and crisis resolution

Trebesch, Christoph - 2011

Persistent link: https://www.econbiz.de/10009306832

Comovement and disintegration of EU sovereign bond markets during the crisis

Vácha, Lukáš; Šmolík, Filip; Baxa, Jaromír - In: International review of economics & finance : IREF 64 (2019), pp. 541-556

Persistent link: https://www.econbiz.de/10012372853

A Structural View of Sovereign Risk Contagion in the Euro Zone

Mayer, Manuel - 2013

This paper explores the impact of the European debt crisis on the valuation of sovereign debt in the euro area in a structural model that merges a sovereign country's stock market, CDS market, and its national finances. By estimating the model over the period from July 2007 to April 2012 using...

Persistent link: https://www.econbiz.de/10013091661

Sovereign risk contagion in the Eurozone : a time-varying coefficient approach

Ludwig, Alexander - 2013

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal … led to a disruption in contagion of sovereign risk from these countries to Spain, Italy, France and Belgium as was desired …

Persistent link: https://www.econbiz.de/10010222446