Regime-Dependent Sovereign Risk Pricing During the Euro Crisis*

DOI10.1093/ROF/RFW050MaRDI QIDQ4555642zbMATH OpenOpenAlexFDO

Authors Anne-Laure Delatte, Julien Fouquau, Richard Portes

Publication date 20 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10230/27700

zbMATH Keywords

CDS indicesEuropean sovereign crisispanel smooth transition regression models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Recommendations

• Sovereign risk contagion in the Eurozone
• A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
• Sovereign risk in the Euro Area: a multivariate stochastic process approach
• Decomposing euro-area sovereign spreads: credit and liquidity risks
• A tale of two risks in the EMU sovereign debt markets
• Time-varying volatility, default, and the sovereign risk premium
• Beyond spreads: measuring sovereign market stress in the Euro area
• Sovereign risk zones in Europe during and after the debt crisis

Cited in

(11)

• Sovereign bonds since Waterloo
• Redenomination-risk spillovers in the eurozone
• Financial repression in the European sovereign debt crisis
• Sovereign bond spread drivers in the EU market in the aftermath of the global financial crisis
• Debt-deflation, financial market stress and regime change -- evidence from Europe using MRVAR
• Transmission of the Greek crisis on the sovereign debt markets in the euro area
• Sovereign Credit Quality and Violations of the Law of One Price
• Sovereign risk zones in Europe during and after the debt crisis
• Sovereign risk contagion in the Eurozone
• A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model
• External imbalances and fiscal fragility in the euro area

This page was built for publication: Regime-Dependent Sovereign Risk Pricing During the Euro Crisis*

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4555642)