Sovereign default network and currency risk premia
Abstract We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets. We develop four measures of centrality, namely, degree, betweenness, closeness, and eigenvector centralities, to detect...
Main Authors: | Lu Yang, Lei Yang, Xue Cui |
---|---|
Format: | Article |
Language: | English |
Published: |
SpringerOpen
2023-05-01
|
Series: | Financial Innovation |
Subjects: | |
Online Access: | https://doi.org/10.1186/s40854-023-00485-3 |
Similar Items
-
Upside and downside correlated jump risk premia of currency options and expected returns
by: Jie-Cao He, et al.
Published: (2023-05-01) -
Sovereign Latin American Eurobonds
by: William C. Handorf, et al.
Published: (1999-08-01) -
Supply chains and risk premia in Chinese stock market: A sorted‐portfolio approach
by: Chao Yang, et al.
Published: (2023-09-01) -
An Equilibrium Model of Rare Event Premia
by: Liu, Jun, et al.
Published: (2002) -
The behavior of Sovereign Credit Default Swaps (CDS) spread: evidence from Turkey with the effect of Covid-19 pandemic
by: Mustafa Tevfik Kartal
Published: (2020-08-01)