SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Sovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers
5 references·2 citing·31 second hop
Sovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers (2014)Sovereign CDS Spreads in Europe: The Role…Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis (2011)Sovereign Rating News and Fin…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2007)Measuring Financial Asset Ret…How Sovereign is Sovereign Credit Risk? (2007)How Sovereign is Sovereign Cr…Information transmission and spillover in currency markets: A generalized variance decomposition analysis (2006)Information transmission and …A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach (2017)Systemic risk spillovers in s…Bank and Sovereign Risk Feedback Loops (2015)Bank and Sovereign Risk Feedb…Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Market Liquidity and Funding Liquidity (2008)Capital Constraints, Counterparty Risk, and Deviations from Covered Interest Rate Parity (2009)Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe (2011)Real Economic Shocks and Sovereign Credit Risk (2016)Macroeconomics and Reality (1980)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Generalized impulse response analysis in linear multivariate models (1998)Information transmission across currency futures markets: Evidence from frequency domain tests (2011)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Governance of a Fragile Eurozone (2011)Credit Default Swaps: A Survey (2014)Exporting Sovereign Stress: Evidence from Syndicated Bank Lending during the Euro Area Sovereign Debt Crisis (2014)The measurement of urban travel demand (1974)Limited-dependent and qualitative variables in econometrics (1983)Market Integration and Contagion (2003)Multivariate GARCH models To appear in T. G. Andersen, R. A. Davis, J.-P. Kreiss and T. Mikosch, eds. Handbook of Financial Time Series. New York: Springer. (2008)Financial Risk Measurement for Financial Risk Management (2013)On the Estimation of Security Price Volatilities from Historical Data (1980)The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2012)The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets (2019)Static and Dynamic Connectedness Between NFTs, Defi and Other Assets: Portfolio Implication (2021)From Financial Crash to Debt Crisis (2011)Sovereign Default, Domestic Banks, and Financial Institutions (2013)Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view (2016)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Spatial Econometrics: Methods and Models (1988)Introduction to Spatial Econometrics (2009)
this work references cited by second hop

References

  • 2007Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets501 cited
  • 2011Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis237 cited
  • 2007How Sovereign is Sovereign Credit Risk?201 cited
  • 2000A New Approach to Measuring Financial Contagion132 cited
  • 2006Information transmission and spillover in currency markets: A generalized variance decomposition analysis26 cited

Cited by

  • 2017Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach23 cited
  • 2015Bank and Sovereign Risk Feedback Loops23 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work