Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Disentangling contagion among sovereign CDS spreads during the European debt crisis

16 references·14 citing·47 second hop

FromToDepth

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
1988Testing for Common Trends1,894 cited
1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
2011How Sovereign Is Sovereign Credit Risk?1,129 cited
2005Market Integration and Contagion1,061 cited
2003A New Approach to Measuring Financial Contagion1,015 cited
1996Contagious Currency Crises959 cited
2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
2003A Primer on Financial Contagion696 cited
2009The Determinants of Credit Default Swap Premia663 cited
1999Credit Swap Valuation636 cited
2005

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

Empirical modelling of contagion: a review of methodologies

549 cited

Cited by

2017Directional predictability from oil market uncertainty to sovereign credit spreads of oil-exporting countries: Evidence from rolling windows and crossquantilogram analysis80 cited
2017Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach77 cited
2021Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic76 cited
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 Growth69 cited
2016The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences66 cited
2017Dealing with Dealers: Sovereign CDS Comovements58 cited
2016Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches39 cited
2018Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes37 cited
2021Factor extraction using Kalman filter and smoothing: This is not just another survey29 cited
2019Spillovers across European sovereign credit markets and role of surprise and uncertainty28 cited
2017Identifying contagion27 cited
2018Contagion and interdependence in Eurozone bank and sovereign credit markets26 cited
2020Quantifying sovereign risk in the euro area25 cited
2015Bank and Sovereign Risk Feedback Loops23 cited