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Sovereign bond spreads and CDS premia in the Eurozone : a causality analysis

Téllez, Cecilia; Martín García, Margarita; Ramón … - In: Revista de métodos cuantitativos para la economía y … 30 (2020), pp. 58-78

separately or by taking into account the joint evolution of their values. The data refer to ten countries in the Eurozone along …

Persistent link: https://www.econbiz.de/10012436652

Tail Dependence of Eurozone Sovereign CDS Spreads

Arakelian, Veni - 2018

Using a flexible threshold copula model, we investigate the pairwise tail dependence of Eurozone sovereign credit …

Persistent link: https://www.econbiz.de/10012914425

Eurozone sovereign contagion : evidence from the CDS market ; 2005 - 2010

Kalbaska, A.; Gątkowski, M. - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 657-673

Persistent link: https://www.econbiz.de/10009697968

Impacts of the financial crisis on eurozone sovereign CDS spreads

Gündüz, Yalın; Kaya, Orcun - In: Journal of international money and finance 49 (2014), pp. 425-442

Persistent link: https://www.econbiz.de/10010464931

The ICA-based factor decomposition of the Eurozone sovereign CDS spreads

Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - 2015

Persistent link: https://www.econbiz.de/10011375946

Factor decomposition of the Eurozone sovereign CDS spreads

Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - In: Journal of international money and finance 65 (2016), pp. 1-23

Persistent link: https://www.econbiz.de/10011668394

Conditional dependence of US and EU sovereign CDS : a time-varying copula-based estimation

Atil, Ahmed; Bradford, Marc; El Marzougui, Abdelaziz; … - In: Finance research letters 19 (2016), pp. 42-53

Persistent link: https://www.econbiz.de/10011657442

The relative pricing of sovereign credit risk after the Eurozone crisis

Corvino, Raffaele; Ruggiero, Francesco - In: Journal of international money and finance 112 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10012797600

Spillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis : a spatial approach

Kışla, Gül Huyugüzel; Muradoğlu, Gülnur; Özlem … - In: The journal of asset management : a major new, … 23 (2022) 4, pp. 277-296

Persistent link: https://www.econbiz.de/10013391984

Measuring connectedness of Euro area sovereign risk

Buse, Rebekka; Schienle, Melanie - 2015

We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...

Persistent link: https://www.econbiz.de/10010503874