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Transmission of the Greek crisis on the sovereign debt markets in the euro area

We test for the contagion effects stemming from the Greek debt crisis in the daily 10-year sovereign bond yield spreads in nine Economic and Monetary Union (EMU) countries. To this end, we estimate the dynamic conditional correlation (DCC) model of Engle (2002) from January 01, 2003 to December 31,...

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Detalles Bibliográficos
Autores principales:	Kchaou, Oussama, Bellalah, Makram, Tahi, Sofiane
Formato:	Online Artículo Texto
Lenguaje:	English
Publicado:	Springer US 2021
Materias:	S.I. : Risk Management Decisions and Value under Uncertainty
Acceso en línea:	https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8609997/ https://www.ncbi.nlm.nih.gov/pubmed/34840394 http://dx.doi.org/10.1007/s10479-021-03938-z

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