Measuring connectedness of Euro area sovereign risk
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- Brůha, Jan & Kočenda, Evžen, 2018.
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- Jan Bruha & Evžen Kocenda, 2017. "Financial Stability in Europe: Banking and Sovereign Risk," CESifo Working Paper Series 6453, CESifo.
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More about this item
Keywords
sovereign risk measurement; variance decomposition; connectedness; CDS and bond spreads; financial and eurozone crisis;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- G01 - Financial Economics - - General - - - Financial Crises
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2015-04-19 (European Economics)
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