Financial market linkages and the sovereign debt crisis
We develop a novel approach to investigate the presence of financial contagion during the European sovereign debt crisis. The novelty lies in modelling bond yield market comovements allowing the individual long-run variances to be time-dependent and the correlations to change smoothly between two ex...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
University of Oxford
2021
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