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Disentangling contagion among sovereign CDS spreads during the European debt crisis · Study

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ArticleDisentangling contagion among sovereign CDS spreads during the European debt crisis

Carmen Broto2015

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Articlegreen2015

Disentangling contagion among sovereign CDS spreads during the European debt crisis

Carmen Broto · Gabriel Pérez‐Quirós

88 citations·0/0 files stored·Journal of Empirical Finance

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

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References

2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2001Extreme Correlation of International Equity Markets 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market 1988Testing for Common Trends 1995Estimation of Common Long-Memory Components in Cointegrated Systems 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps 2011How Sovereign Is Sovereign Credit Risk?2005Market Integration and Contagion

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2017Directional predictability from oil market uncertainty to sovereign credit spreads of oil-exporting countries: Evidence from rolling windows and crossquantilogram analysis 2017Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach 2021Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic 2018Analyzing the Global Risks for the Financial Crisis after the Great Depression Using Comparative Hybrid Hesitant Fuzzy Decision-Making Models: Policy Recommendations for Sustainable Economic Growth

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2013Disentangling Contagion Among Sovereign CDS Spreads During the European Debt Crisispreprint · 23 shared references 2017Measuring sovereign contagion in Europearticle · 10 shared references 2012Sovereign Credit Default Swap Premiapreprint · 9 shared references 2006Correlation, Contagion, and Asian Evidencearticle · 9 shared references 2015An analysis of euro area sovereign CDS and their relation with government bondsarticle · 8 shared references 2005Coexceedances in financial markets—a quantile regression analysis of contagionarticle · 8 shared references

Details

Year2015

Typearticle

Published2015-04-06

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations88

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jempfin.2015.03.010

openalex_workW3124567809

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2016The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences

2017Dealing with Dealers: Sovereign CDS Comovements

2016Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches

2018Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes