\textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe

DOI10.1016/j.jedc.2013.02.005zbMath1327.91066OpenAlexW2003731408MaRDI QIDQ900389

Angelo Baglioni, Umberto Cherubini

Publication date: 22 December 2015

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2013.02.005

zbMATH Keywords

country riskfinancial crisiscopula functionssystemic riskMarshall-Olkin distributionsovereign default

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Corporate finance (dividends, real options, etc.) (91G50) Credit risk (91G40)

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