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Measuring Sovereign Contagion in Europe

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References

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549 cited

2011A Pyrrhic Victory? - Bank Bailouts and Sovereign Credit Risk488 cited

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2016A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt49 cited
2016Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries48 cited
2015A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector39 cited
2014DEALER INTERMEDIATION BETWEEN MARKETS39 cited
2016Sovereign Credit Risk Co‐Movements in the Eurozone: Simple Interdependence or Contagion?37 cited
2017Financial contagion: review of empirical literature37 cited
2018Spillovers among sovereign debt markets: Identification through absolute magnitude restrictions36 cited
2017Identifying and measuring the contagion channels at work in the European financial crises29 cited
2016A Spanish Financial Market Stress Index (FMSI)27 cited
2014Transmission of government default risk in the eurozone23 cited
2014Deciphering financial contagion in the euro area during the crisis22 cited
2017Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis: Evidence from central Europe22 cited