Sovereign risk contagion in the Eurozone

DOI10.1016/J.ECONLET.2012.04.074zbMath1254.91606OpenAlexW2081739019MaRDI QIDQ1925847

Norbert Metiu

Publication date: 27 December 2012

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.04.074

zbMATH Keywords

value-at-riskcontagionsovereign riskcredit event

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Credit risk (91G40)

Related Items (6)

Contagion in eurozone sovereign bond markets? The good, the bad and the ugly ⋮ Contagion and global financial crises: lessons from nine crisis episodes ⋮ A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model ⋮ Correlation and coordination risk ⋮ Expectations and systemic risk in EMU government bond spreads ⋮ SUR Approach for IV Estimation of Canonical Contagion Models

Cites Work

• Unnamed Item
• Econometric issues in the analysis of contagion
• Testing for ARCH in the presence of a possibly misspecified conditional mean
• Generalized autoregressive conditional heteroscedasticity

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