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Tail event-based sovereign credit risk transmission network during COVID-19 pandemic
This paper investigates the interconnectedness between sovereign credit risk based on the tail event and network dynamics technique. Specifically, we examine the interdependence in upper tails of sovereign credit default swap in the case of fifteen most COVID-19 affected countries. Empirical finding...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8856891/ https://www.ncbi.nlm.nih.gov/pubmed/35221820 http://dx.doi.org/10.1016/j.frl.2021.102182 |