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Measuring connectedness of euro area sovereign risk · Study

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ArticleMeasuring connectedness of euro area sovereign risk

Rebekka Buse2018

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Articlegreen2018

Measuring connectedness of euro area sovereign risk

Rebekka Buse · Melanie Schienle

31 citations·0/0 files stored·International Journal of Forecasting

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Credit Risk and Financial Regulations Global Financial Crisis and Policies Financial Risk and Volatility Modeling

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1998Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data 1998Generalized impulse response analysis in linear multivariate models 1996Impulse response analysis in nonlinear multivariate models 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

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2021Spillover and risk transmission in the components of the term structure of eurozone yield curve 2024Detecting statistically significant changes in connectedness: A bootstrap-based technique

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Year2018

Typearticle

Published2018-10-25

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations31

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.ijforecast.2018.07.010

openalex_workW1482347338

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