Transmission of the Greek crisis on the sovereign debt markets in the euro area

DOI10.1007/S10479-021-03938-ZzbMath1492.91410OpenAlexW3214792926MaRDI QIDQ2151664

Makram Bellalah, Sofiane Tahi, Oussama Kchaou

Publication date: 5 July 2022

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

Full work available at URL: https://doi.org/10.1007/s10479-021-03938-z

zbMATH Keywords

confidence intervalcontagionGreek crisisGARCH-DCC

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Contagion in eurozone sovereign bond markets? The good, the bad and the ugly
• Generalized autoregressive conditional heteroscedasticity
• A wavelet-based approach to test for financial market contagion
• Dynamic integration and network structure of the EMU sovereign bond markets
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Density Estimation
• Multivariate skewt-distribution
• Some Skewed Multivariate Distributions
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• ECB Policies Involving Government Bond Purchases: Impact and Channels*

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