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Armin Eder

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First Name:Armin
Middle Name:
Last Name:Eder
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RePEc Short-ID:ped62

Research output

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Jump to: Working papers

Working papers

  1. Eder, Armin & Keiler, Sebastian & Pichl, Hannes, 2013. "Interest rate risk and the Swiss solvency test," Discussion Papers 41/2013, Deutsche Bundesbank.
  2. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank.

    Cited by:

    1. Carlos Castro & Juan S. Ordoñez & Sergio Preciado, 2016. "Network externalities across financial institutions," Documentos de Trabajo 14287, Universidad del Rosario.
    2. Leopoldo Catania & Anna Gloria Billé, 2016. "Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances," CEIS Research Paper 375, Tor Vergata University, CEIS, revised 31 Mar 2016.
    3. Rosella Giacometti & Gabriele Torri & Kamonchai Rujirarangsan & Michela Cameletti, 2023. "Spatial Multivariate GARCH Models and Financial Spillovers," JRFM, MDPI, vol. 16(9), pages 1-23, September.
    4. Umberto Muratori, 2014. "Contagion in the Euro Area Sovereign Bond Market," Social Sciences, MDPI, vol. 4(1), pages 1-17, December.
    5. Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg, 2014. "Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models," Tinbergen Institute Discussion Papers 14-107/III, Tinbergen Institute.
    6. Billio, Monica & Caporin, Massimiliano & Frattarolo, Lorenzo & Pelizzon, Loriana, 2023. "Networks in risk spillovers: A multivariate GARCH perspective," Econometrics and Statistics, Elsevier, vol. 28(C), pages 1-29.
    7. Francesco Caloia & Andrea Cipollini & Silvia Muzzioli, 2018. "On the financial connectedness of the commodity market: a replication of the Diebold and Yilmaz (2012) study," Department of Economics 0131, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    8. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Leibniz Institute for Financial Research SAFE.
    9. Pagano, Michael S. & Sedunov, John, 2016. "A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt," Journal of Financial Stability, Elsevier, vol. 23(C), pages 62-78.
    10. Fernandes, Guilherme Barreto & Artes , Rinaldo, 2013. "Spatial correlation in credit risk and its improvement in credit scoring," Insper Working Papers wpe_321, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    11. Sedunov, John, 2021. "Federal reserve intervention and systemic risk during financial crises," Journal of Banking & Finance, Elsevier, vol. 133(C).
    12. Hüttner, Amelie & Scherer, Matthias & Gräler, Benedikt, 2020. "Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data," Journal of Banking & Finance, Elsevier, vol. 118(C).
    13. Matthias Pelster & Johannes Vilsmeier, 2018. "The determinants of CDS spreads: evidence from the model space," Review of Derivatives Research, Springer, vol. 21(1), pages 63-118, April.
    14. Pelster, Matthias & Vilsmeier, Johannes, 2016. "The determinants of CDS spreads: Evidence from the model space," Discussion Papers 43/2016, Deutsche Bundesbank.
    15. Francesco Giuseppe Caloia & Andrea Cipollini & Silvia Muzzioli, 2016. "A note on normalization schemes:The case of generalized forecast error variance decompositions," Department of Economics 0092, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    16. Marc Peters & Hugues Pirotte, 2014. "Unveiling Sovereign Effects in European Banks CDS Spreads Variations," Working Papers CEB 14-018, ULB -- Universite Libre de Bruxelles.

More information

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Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (2) 2013-02-16 2013-11-29
  2. NEP-BAN: Banking (1) 2013-02-16
  3. NEP-ECM: Econometrics (1) 2013-02-16
  4. NEP-FMK: Financial Markets (1) 2013-02-16
  5. NEP-GEO: Economic Geography (1) 2013-02-16

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