FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3125148728> ?p ?o ?g. }

• W3125148728 endingPage "284" @default.
• W3125148728 startingPage "271" @default.
• W3125148728 abstract "We propose an empirical framework to assess the likelihood of joint and conditional sovereign default from observed CDS prices. Our model is based on a dynamic skewed-t distribution that captures all salient features of the data, including skewed and heavy-tailed changes in the price of CDS protection against sovereign default, as well as dynamic volatilities and correlations that ensure that uncertainty and risk dependence can increase in times of stress. We apply the framework to euro area sovereign CDS spreads during the euro area debt crisis. Our results reveal significant time-variation in distress dependence and spill-over effects for sovereign default risk. We investigate market perceptions of joint and conditional sovereign risk around announcements of Eurosystem asset purchases programs, and document a strong impact on joint risk." @default.
• W3125148728 created "2021-02-01" @default.
• W3125148728 creator A5017698205 @default.
• W3125148728 creator A5051020416 @default.
• W3125148728 creator A5055435986 @default.
• W3125148728 date "2014-04-03" @default.
• W3125148728 modified "2023-10-01" @default.
• W3125148728 title "Conditional Euro Area Sovereign Default Risk" @default.
• W3125148728 cites W1727659491 @default.
• W3125148728 cites W1971604478 @default.
• W3125148728 cites W1990717991 @default.
• W3125148728 cites W1992376937 @default.
• W3125148728 cites W2030061514 @default.
• W3125148728 cites W2033076513 @default.
• W3125148728 cites W2078262781 @default.
• W3125148728 cites W2099366283 @default.
• W3125148728 cites W2101593446 @default.
• W3125148728 cites W2102173527 @default.
• W3125148728 cites W2112339981 @default.
• W3125148728 cites W2122549219 @default.
• W3125148728 cites W2127958806 @default.
• W3125148728 cites W2153947535 @default.
• W3125148728 cites W2206149923 @default.
• W3125148728 cites W2282382832 @default.
• W3125148728 cites W2483216220 @default.
• W3125148728 cites W3022547221 @default.
• W3125148728 cites W3121699129 @default.
• W3125148728 cites W3121736584 @default.
• W3125148728 cites W3122516617 @default.
• W3125148728 cites W3123068586 @default.
• W3125148728 cites W3123522733 @default.
• W3125148728 cites W3123848600 @default.
• W3125148728 cites W4236643107 @default.
• W3125148728 cites W4253163276 @default.
• W3125148728 doi "https://doi.org/10.1080/07350015.2013.873540" @default.
• W3125148728 hasPublicationYear "2014" @default.
• W3125148728 type Work @default.
• W3125148728 sameAs 3125148728 @default.
• W3125148728 citedByCount "124" @default.
• W3125148728 countsByYear W31251487282013 @default.
• W3125148728 countsByYear W31251487282014 @default.
• W3125148728 countsByYear W31251487282015 @default.
• W3125148728 countsByYear W31251487282016 @default.
• W3125148728 countsByYear W31251487282017 @default.
• W3125148728 countsByYear W31251487282018 @default.
• W3125148728 countsByYear W31251487282019 @default.
• W3125148728 countsByYear W31251487282020 @default.
• W3125148728 countsByYear W31251487282021 @default.
• W3125148728 countsByYear W31251487282022 @default.
• W3125148728 countsByYear W31251487282023 @default.
• W3125148728 crossrefType "journal-article" @default.
• W3125148728 hasAuthorship W3125148728A5017698205 @default.
• W3125148728 hasAuthorship W3125148728A5051020416 @default.
• W3125148728 hasAuthorship W3125148728A5055435986 @default.
• W3125148728 hasBestOaLocation W31251487282 @default.
• W3125148728 hasConcept C10138342 @default.
• W3125148728 hasConcept C144133560 @default.
• W3125148728 hasConcept C149782125 @default.
• W3125148728 hasConcept C162118730 @default.
• W3125148728 hasConcept C162324750 @default.
• W3125148728 hasConcept C17744445 @default.
• W3125148728 hasConcept C178350159 @default.
• W3125148728 hasConcept C186229450 @default.
• W3125148728 hasConcept C199539241 @default.
• W3125148728 hasConcept C2778782394 @default.
• W3125148728 hasConcept C2994482091 @default.
• W3125148728 hasConcept C38652104 @default.
• W3125148728 hasConcept C41008148 @default.
• W3125148728 hasConcept C556758197 @default.
• W3125148728 hasConcept C69637215 @default.
• W3125148728 hasConcept C76178495 @default.
• W3125148728 hasConcept C94625758 @default.
• W3125148728 hasConceptScore W3125148728C10138342 @default.
• W3125148728 hasConceptScore W3125148728C144133560 @default.
• W3125148728 hasConceptScore W3125148728C149782125 @default.
• W3125148728 hasConceptScore W3125148728C162118730 @default.
• W3125148728 hasConceptScore W3125148728C162324750 @default.
• W3125148728 hasConceptScore W3125148728C17744445 @default.
• W3125148728 hasConceptScore W3125148728C178350159 @default.
• W3125148728 hasConceptScore W3125148728C186229450 @default.
• W3125148728 hasConceptScore W3125148728C199539241 @default.
• W3125148728 hasConceptScore W3125148728C2778782394 @default.
• W3125148728 hasConceptScore W3125148728C2994482091 @default.
• W3125148728 hasConceptScore W3125148728C38652104 @default.
• W3125148728 hasConceptScore W3125148728C41008148 @default.
• W3125148728 hasConceptScore W3125148728C556758197 @default.
• W3125148728 hasConceptScore W3125148728C69637215 @default.
• W3125148728 hasConceptScore W3125148728C76178495 @default.
• W3125148728 hasConceptScore W3125148728C94625758 @default.
• W3125148728 hasIssue "2" @default.
• W3125148728 hasLocation W31251487281 @default.
• W3125148728 hasLocation W31251487282 @default.
• W3125148728 hasLocation W31251487283 @default.
• W3125148728 hasOpenAccess W3125148728 @default.
• W3125148728 hasPrimaryLocation W31251487281 @default.
• W3125148728 hasRelatedWork W1564737516 @default.
• W3125148728 hasRelatedWork W2031590377 @default.
• W3125148728 hasRelatedWork W2076557336 @default.

• next