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Measuring Sovereign Contagion in Europe · Study

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PreprintMeasuring Sovereign Contagion in Europe

Massimiliano Caporin2015

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Preprintgreen2015

Measuring Sovereign Contagion in Europe

Massimiliano Caporin · Loriana Pelizzon · Francesco Ravazzolo · Roberto Rigobon B C

54 citations·0/0 files stored·SSRN Electronic Journal

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

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References

2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation 2005Market Integration and Contagion 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements 2007Measuring financial contagion: A Copula approach 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion

Cited by

2016A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt 2016Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries 2015A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector 2014DEALER INTERMEDIATION BETWEEN MARKETS 2016Sovereign Credit Risk Co‐Movements in the Eurozone: Simple Interdependence or Contagion?

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2017Measuring sovereign contagion in Europearticle · 26 shared references 2013Measuring Sovereign Contagion in Europereport · 15 shared references 2012Bank/Sovereign Risk Spillovers in the European Debt Crisispreprint · 10 shared references 2012Measuring Sovereign Contagion in Europepreprint · 10 shared references 2007The Role of Portfolio Constraints in the International Propagation of Shockspreprint · 9 shared references 2016Sovereign Credit Risk Co‐Movements in the Eurozone: Simple Interdependence or Contagion?article · 9 shared references

Details

Year2015

Typepreprint

Published2015-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations54

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.2606508

openalex_workW1501450880

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2017Financial contagion: review of empirical literature

2018Spillovers among sovereign debt markets: Identification through absolute magnitude restrictions

2017Identifying and measuring the contagion channels at work in the European financial crises