Interdependencies between CDS spreads in the European union: is Greece the black sheep or black swan?

DOI10.1007/s10479-018-2788-0zbMath1404.62142OpenAlexW2792127046MaRDI QIDQ1621927

Dimitrios Koutmos

Publication date: 12 November 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2788-0

zbMATH Keywords

vector autoregressioncredit default swapsEuropean debt crisisGreece

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Credit risk (91G40)

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Spatial contagion between financial markets: new evidence of asymmetric measures, Credit spread approximation and improvement using random forest regression

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