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Dancing Spreads: Market Assessment of Contagion from the Crisis in the Euro Periphery based on Distress Dependence Analysis

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Author Info

  • Ola Melander
  • Malika Pant
  • Miguel Segoviano
  • Athanasios Vamvakidis

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Abstract

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File URL: http://hdl.handle.net/10.1007/s11294-011-9309-0
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Bibliographic Info

Article provided by Springer in its journal International Advances in Economic Research.

Volume (Year): 17 (2011)
Issue (Month): 3 (August)
Pages: 347-363

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Handle: RePEc:kap:iaecre:v:17:y:2011:i:3:p:347-363

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Web page: http://www.springerlink.com/link.asp?id=112112

Related research

Keywords: Sovereign spreads; Market price of risk; Euro area; Contagion; E43; E44; G01; G10;

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References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Charles Goodhart & Miguel Segoviano, 2009. "Banking Stability Measures," FMG Discussion Papers dp627, Financial Markets Group.
  2. Miguel A. Segoviano Basurto & Carlos Caceres & Vincenzo Guzzo, 2010. "Sovereign Spreads," IMF Working Papers 10/120, International Monetary Fund.
  3. Miguel Segoviano, 2006. "Consistent Information Multivariate Density Optimizing Methodology," FMG Discussion Papers dp557, Financial Markets Group.
  4. Vivek Arora & Athanasios Vamvakidis, 2005. "How Much Do Trading Partners Matter for Economic Growth?," IMF Staff Papers, Palgrave Macmillan, vol. 52(1), pages 24-40, April.
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Cited by:
  1. Panagiotis Petrakis & Emmanuel Papadakis & Nikoleta Daniilopoulou, 2012. "Public Statements on Sovereign Yield Spreads:The Greek Case," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 6(2), pages 5-16, December.
  2. Eftychia Nikolaidou & Sofoklis Vogiazas, 2014. "Credit Risk Determinants for the Bulgarian Banking System," International Advances in Economic Research, Springer, vol. 20(1), pages 87-102, February.
  3. Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2014. "Testing for a break in the persistence in yield spreads of EMU government bonds," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 109-118.

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