Beyond spreads: measuring sovereign market stress in the Euro area

DOI10.1016/j.econlet.2017.06.042zbMath1398.91590OpenAlexW3121961989MaRDI QIDQ1782420

Carlos Garcia-de-Andoain, Manfred Kremer

Publication date: 20 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/208219

zbMATH Keywords

systemic risksovereign debt crisisfinancial stress indexspillover index

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

An optimization model for minimizing systemic risk

Cites Work

• Impulse response analysis in nonlinear multivariate models
• Generalized impulse response analysis in linear multivariate models
• Contagion in eurozone sovereign bond markets? The good, the bad and the ugly

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