Measuring Systematic Risk in EMU Government Yield Spreads *

DOI10.1023/B:EUFI.0000035191.62455.32zbMath1106.91337OpenAlexW3125669581WikidataQ59345913 ScholiaQ59345913MaRDI QIDQ4672032

Stephan Kossmeier, Stefan Pichler, Alois Geyer

Publication date: 29 April 2005

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

Full work available at URL: https://doi.org/10.1023/b:eufi.0000035191.62455.32

zbMATH Keywords

Kalman filterEMUcredit spreadsintensity modelaffine term structure modelmulti-issuer model

Mathematics Subject Classification ID

Related Items (5)

Robust analysis of default intensity ⋮ Government debt denomination policies before and after the EMU advent ⋮ External imbalances and fiscal fragility in the euro area ⋮ Mutual excitation in Eurozone sovereign CDS ⋮ Modelling and forecasting government bond spreads in the euro area: a GVAR model

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