Blar i BI Research Centre's Series på forfatter "Rigobon, Roberto"
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Measuring sovereign contagion in Europe
Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto (CAMP Working Paper Series;4/2012, Working paper, 2014-06-24)This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression ...