Cargando…
Sovereign contagion risk measure across financial markets in the eurozone: a bivariate copulas and Markov Regime Switching ARMA based approaches
This paper analyzes sovereign risk contagion across financial markets in the eurozone during and after the European debt crisis. A particular focus is made on the causal impact of pre-Brexit and Covid-19 pandemic on the dependence between European markets. We use data set from 28 February 2008 to 11...
| Autores principales: | , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2021
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8590445/ http://dx.doi.org/10.1007/s10290-021-00440-3 |