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 ...