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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Bibliographic Details
Main Author: Martins, Susana (author)
Other Authors: Amado, Cristina (author)
Format: workingPaper
Language:eng
Published: 2018
Subjects:
Financial contagion
European sovereign debt crisis
Multivariate GARCH model
Dynamic correlations
Multiplicative decomposition of volatility
Online Access:http://hdl.handle.net/1822/60223
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/60223

Internet

http://hdl.handle.net/1822/60223

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