TIME‐VARYING VOLATILITY, DEFAULT, AND THE SOVEREIGN RISK PREMIUM

DOI10.1111/IERE.12353zbMath1422.91541OpenAlexW2188069119WikidataQ129311446 ScholiaQ129311446MaRDI QIDQ5224963

Hernán D. Seoane

Publication date: 25 July 2019

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://economicdynamics.org/meetpapers/2016/paper_1132.pdf

zbMATH Keywords

volatility changessovereign risk premiumstrategic default models

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (2)

Welfare gains of bailouts in a sovereign default model ⋮ COSTLY INFORMATION AND SOVEREIGN RISK

Cites Work

• The Impact of Uncertainty Shocks
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• A General Equilibrium Model of Sovereign Default and Business Cycles
• Uncertainty and Investment Dynamics

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