Financial market contagion and the sovereign debt crisis: a smooth transition approach
In this paper, we investigate the timing and extent of sovereign debt contagion across nine Eurozone countries using daily returns on 10-year government bonds from 2007 until 2017. The novelty lies in modelling bond return correlations using a multivariate GARCH model with a multiplicative decomposi...
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| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2018
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| Texto completo: | http://hdl.handle.net/1822/60223 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/60223 |