Title:Sovereign bond market dependencies and crisis transmission around the Eurozone debt crisis : a dynamic copula approach Author(s):BEKIROS, Stelios D.; HAMMOUDEH, Shawkat; JAMMAZI, Rania; NGUYEN, Duc KhuongDate:2018Citation:
- Applied economics, 2018, Vol. 50, No. 47, pp. 5029-5047
Type:ArticleAbstract:We examine the dependency between the European government bond markets around the recent sovereign debt crisis. A dynamic copula approach is used to model the time-varying dependence structure of those government bond ...
Title:Spillovers across European sovereign credit markets and role of surprise and uncertainty Author(s):BEKIROS, Stelios D.; SHAHZAD, Syed Jawad Hussain; JAMMAZI, Rania; ALOUI, ChakerDate:2020Citation:
- Applied economics, 2020, Vol. 52, No. 8, pp. 851-865
Type:ArticleAbstract: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) ...