Spillovers across European sovereign credit markets and role of surprise and uncertainty
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DOI: 10.1080/00036846.2019.1659930
Abstract: ABSTRACT We identify the network structure of spillovers and time-varying spillover intensities across European sovereign credit markets proposing a novel Copula-Granger causality based structural vector auto-regressive (SVAR) approach. Via the proposed framework, we examine the… read more here.
Keywords: credit; surprise uncertainty; sovereign credit; across european ... See more keywords