We analyze the channels for the cross-border propagation of sovereign credit risk in the international sovereign debt market. We study sovereign credit contagion through the immediate effects of credit events as defined by CDS spread jumps on the credit spreads of other regional sovereigns and...

We analyze the cross-border propagation of systemic risk in the international sovereign debt market. Using daily data on CDS spreads for 67 sovereign borrowers from 2002 to 2013 we define sovereign credit events as those in which the spread widens by more than 99.9% of all spread changes within...

On February 24, 2022, Russia invaded Ukraine. In this paper, we analyze the response of European and worldwide stock markets and a representative sample of commodities to this event and compare it against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. We...

This paper attempts to reveal the impact of the right jump tail on the dynamics and term structures of volatility-of-volatility (VVIX) and variance-of-variance risk premium (VVRP) based on the VIX index while examining the return predictability implicit in the VIX market. In a simulation study...