Factor decomposition of the Eurozone sovereign CDS spreads
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DOI: 10.1016/j.jimonfin.2016.03.003
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Cited by:
- Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
- Lei Wang & Yan Yan & Xiaoteng Li & Xiaosong Chen, 2018. "General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures," PLOS ONE, Public Library of Science, vol. 13(7), pages 1-18, July.
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"Pricing Sovereign Contingent Convertible Debt,"
Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-36, December.
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- Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A., 2016. "Pricing Sovereign Contingent Convertible Debt," Working Papers 16-05, University of Pennsylvania, Wharton School, Weiss Center.
- Andrea Consiglio & Michele Tumminello & Stavros A. Zenios, 2018. "Pricing sovereign contingent convertible debt," Papers 1804.01475, arXiv.org.
- Ben R. Craig & Margherita Giuzio & Sandra Paterlini, 2019.
"The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios,"
Working Papers
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- Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2017.
"Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis,"
Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 371-385.
- Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2016. "Self-fulfilling dynamics: the interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Working Papers 214, Bank of Greece.
- Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2016. "Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Discussion Papers in Economics 16/18, Division of Economics, School of Business, University of Leicester.
- Rodríguez-Caballero, Carlos Vladimir & Caporin, Massimiliano, 2019.
"A multilevel factor approach for the analysis of CDS commonality and risk contribution,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Carlos Vladimir Rodríguez-Caballero & Massimiliano Caporin, 2018. "A multilevel factor approach for the analysis of CDS commonality and risk contribution," CREATES Research Papers 2018-33, Department of Economics and Business Economics, Aarhus University.
- Dungey, Mardi & Harvey, John & Volkov, Vladimir, 2019.
"The changing international network of sovereign debt and financial institutions,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 149-168.
- Dungey, Mardi & Harvey, John & Volkov, Vladimir, 2017. "The changing international network of sovereign debt and financial institutions," Working Papers 2017-04, University of Tasmania, Tasmanian School of Business and Economics.
- Syed Jawad Hussain Shahzad & Elie Bouri & Jose Arreola-Hernandez & David Roubaud & Stelios Bekiros, 2019.
"Spillover across Eurozone credit market sectors and determinants,"
Applied Economics, Taylor & Francis Journals, vol. 51(59), pages 6333-6349, December.
- Syed Jawad Hussain Shahzad & Elie Bouri & Jose Arreola-Hernandez & David Roubaud & Stelios Bekiros, 2019. "Spillover across Eurozone credit market sectors and determinants," Post-Print hal-02353094, HAL.
- Borri, Nicola, 2019. "Redenomination-risk spillovers in the Eurozone," Economics Letters, Elsevier, vol. 174(C), pages 173-178.
- Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2021.
"Quantifying sovereign risk in the euro area,"
Economic Modelling, Elsevier, vol. 95(C), pages 76-96.
- Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2024. "Quantifying sovereign risk in the euro area," IREA Working Papers 202403, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
- Meier, Samira & Rodriguez Gonzalez, Miguel & Kunze, Frederik, 2021. "The global financial crisis, the EMU sovereign debt crisis and international financial regulation: lessons from a systematic literature review," International Review of Law and Economics, Elsevier, vol. 65(C).
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"Portfolio diversification in the sovereign credit swap markets,"
Annals of Operations Research, Springer, vol. 266(1), pages 5-33, July.
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"Extreme Returns in the European financial crisis,"
European Financial Management, European Financial Management Association, vol. 23(4), pages 728-760, September.
- Chouliaras, Andreas & Grammatikos, Theoharry, 2014. "Extreme Returns in the European Financial Crisis," MPRA Paper 58978, University Library of Munich, Germany.
- Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2018. "“Incorporating creditors' seniority into contingent claim models:Application to peripheral euro area countries”," IREA Working Papers 201803, University of Barcelona, Research Institute of Applied Economics, revised Feb 2018.
- Heather D Gibson & Stephen G Hall & Deborah GeFang & Pavlos Petroulas & George S Tavlas, 2021. "Cross-country spillovers of national financial markets and the effectiveness of ECB policies during the euro-area crisis," Oxford Economic Papers, Oxford University Press, vol. 73(4), pages 1454-1470.
- Hsieh, Wen-Liang G. & Wu, Wei-Shao & Tu, Anthony H., 2022. "Religiosity and sovereign credit quality," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 84-103.
- Zema, Sebastiano Michele, 2022. "Directed acyclic graph based information shares for price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
- Mikhail Stolbov & Maria Shchepeleva, 2018. "Systemic risk in Europe: deciphering leading measures, common patterns and real effects," Annals of Finance, Springer, vol. 14(1), pages 49-91, February.
- Li, Haiping & Semeyutin, Artur & Lau, Chi Keung Marco & Gozgor, Giray, 2020. "The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country," Finance Research Letters, Elsevier, vol. 32(C).
- Naumer, Hans-Jörg & Yurtoglu, Burcin, 2022. "It is not only what you say, but how you say it: ESG, corporate news, and the impact on CDS spreads," Global Finance Journal, Elsevier, vol. 52(C).
- Sebastiano Michele Zema, 2020. "Directed Acyclic Graph based Information Shares for Price Discovery," LEM Papers Series 2020/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
More about this item
Keywords
Independent component analysis; Credit default swap; Eurozone sovereign debt crisis; Redenomination risk;All these keywords.
JEL classification:
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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