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Testing for Regime Changes in Greek Sovereign Debt Crisis

  • Nicholas Apergis


  • Emmanuel Mamatzakis


  • Christos Staikouras


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Article provided by International Atlantic Economic Society in its journal International Advances in Economic Research.

Volume (Year): 17 (2011)
Issue (Month): 3 (August)
Pages: 258-273

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Handle: RePEc:kap:iaecre:v:17:y:2011:i:3:p:258-273
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  1. Jarrow, Robert A & Turnbull, Stuart M, 1995. " Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
  2. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
  3. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
  4. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  5. Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
  6. Roberto Blanco & Simon Brennan & Ian W. Marsh, 2004. "An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps," Banco de Espa�a Working Papers 0401, Banco de Espa�a.
  7. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April.
  8. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
  9. Meyer, Jochen, 2003. "Measuring Market Integration In The Presence Of Transaction Costs - A Threshold Vector Error Correction Approach," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25869, International Association of Agricultural Economists.
  10. Pierides, Yiannos A., 1997. "The pricing of credit risk derivatives," Journal of Economic Dynamics and Control, Elsevier, vol. 21(10), pages 1579-1611, August.
  11. Egon Zakrajsek & Andrew Levin & Roberto Perli, 2005. "The Determinants of Market Frictions in the Corporate Market," Computing in Economics and Finance 2005 379, Society for Computational Economics.
  12. Haibin Zhu, 2006. "An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market," Journal of Financial Services Research, Springer, vol. 29(3), pages 211-235, June.
  13. Jyh-Lin Wu & Pei-Fen Chen, 2006. "Price Indices and Nonlinear Mean-Reversion of Real Exchange Rates," Southern Economic Journal, Southern Economic Association, vol. 73(2), pages 461–471, October.
  14. Clements, Michael P. & Galvao, Ana Beatriz, 2004. "A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure," International Journal of Forecasting, Elsevier, vol. 20(2), pages 219-236.
  15. Huimin Chung & Tsung-Wu Ho & Ling-Ju Wei, 2005. "The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from the threshold vector error correction model," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2387-2394.
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