Regime-Dependent Sovereign Risk Pricing During the Euro Crisis*

DOI10.1093/ROF/RFW050zbMath1402.91841OpenAlexW2531878006MaRDI QIDQ4555642

Julien Fouquau, Anne-Laure Delatte, Richard Portes

Publication date: 20 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10230/27700

zbMATH Keywords

CDS indicesEuropean sovereign crisispanel smooth transition regression models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model

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