SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Measuring Sovereign Contagion in Europe
12 references·3 citing·48 second hop
Measuring Sovereign Contagion in Europe (2012)Measuring Sovereign Contagion in EuropeHow Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Default and Recovery Implicit…Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…Empirical modelling of contagion: a review of methodologies (2005)Empirical modelling of contag…A Bayesian threshold nonlinearity test for financial time series (2005)A Bayesian threshold nonlinea…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…On the measurement of the international propagation of shocks: is the transmission stable? (2003)On the measurement of the int…Preventing Currency Crises in Emerging Markets (2002)Preventing Currency Crises in…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Full Bayesian Inference for GARCH and EGARCH Models (2000)Full Bayesian Inference for G…Estimating the Price of Default Risk (1999)Estimating the Price of Defau…Measuring connectedness of euro area sovereign risk (2018)Measuring connectedness of eu…Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis: Evidence from central Europe (2017)Intraday dynamics of credit r…Behavioral Finance and Efficient Markets: What does the Euro Crisis Tell us? (2017)Behavioral Finance and Effici…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility between Stock Markets (1990)The effects of war risk on US financial markets (2005)Leverage Constraints and the International Transmission of Shocks (2010)Correlation of financial markets in times of crisis (2011)The pricing of commodity contracts (1976)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Carry Trades and Currency Crashes (2008)Carry Trades and Currency Crashes (2008)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Dynamic Asset Pricing Theory. (1993)Counterparty Risk and the Pricing of Defaultable Securities (2001)Measuring Abnormal Bond Performance (2008)The Determinants of Credit Default Swap Premia (2009)Liquidity Risk and Expected Stock Returns (2003)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)An Introduction to Copulas (1999)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)A review of copula models for economic time series (2012)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multifactor Explanations of Asset Pricing Anomalies (1996)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Financial Contagion through Capital Connections: A Model of the Origin and Spread of Bank Panics (2004)Financial contagion and the real economy (2011)Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach (2013)Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Modeling Term Structures of Defaultable Bonds (1999)Market Liquidity and Funding Liquidity (2008)Evaporating Liquidity (2012)International Channels of Transmission of Monetary Policy and the Mundellian Trilemma (2016)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market (2011)Does the Current Account Still Matter? (2012)Exploring the Relationship Between Board Characteristics and CSR: Empirical Evidence from Korea (2015)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
this work references cited by second hop

References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
  • 1999Estimating the Price of Default Risk724 cited
  • 2005Empirical modelling of contagion: a review of methodologies549 cited
  • 2002Preventing Currency Crises in Emerging Markets363 cited
  • 2003On the measurement of the international propagation of shocks: is the transmission stable?240 cited
  • 2000Full Bayesian Inference for GARCH and EGARCH Models141 cited
  • 2005A Bayesian threshold nonlinearity test for financial time series60 cited

Cited by

  • 2018Measuring connectedness of euro area sovereign risk31 cited
  • 2017Behavioral Finance and Efficient Markets: What does the Euro Crisis Tell us?22 cited
  • 2017Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis: Evidence from central Europe

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

22 cited