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Systemic and Idiosyncratic Risk in EU‐15 Sovereign Yield Spreads after Seven Years of Monetary Union
16 references·4 citing·50 second hop
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1995Home bias and high turnover1,245 cited
  • 2005Market Integration and Contagion1,061 cited
  • 1995The World Price of Foreign Exchange Risk765 cited
  • 1995Time-Varying World Market Integration594 cited
  • 1996Capital Flows to Latin America: Is There Evidence of Contagion Effects?476 cited
  • 1998Contagion: Monsoonal Effects, Spillovers, and Jumps between Multiple Equilibria419 cited
  • 2003The structure of interdependence in international stock markets413 cited
  • 2009How Does Liquidity Affect Government Bond Yields?342 cited
  • 1995Do Credit Markets Discipline Sovereign Borrowers? Evidence from U.S. States333 cited
  • 2006Econometric issues in the analysis of contagion289 cited
  • 1995Time-Varying Expected Returns in International Bond Markets286 cited
  • 2002Is the international propagation of financial shocks non-linear?277 cited
  • 2001Measuring Treasury Market Liquidity

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Cited by

  • 2018Sovereign risk, European crisis-resolution policies, and bond spreads35 cited
  • 2012The term structure of sovereign default risk in EMU member countries and its determinants31 cited
  • 2012Sovereign Risk, European Crisis Resolution Policies and Bond Yields31 cited
  • 2012Volatility in EMU sovereign bond yields: permanent and transitory components29 cited