Trends of the Contagion Risk in Sovereign Spreads for Emerging European Countries
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References listed on IDEAS
- Graciela Kaminsky & Sergio L. Schmukler, 2002.
"Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?,"
World Bank Economic Review,
World Bank Group, vol. 16(2), pages 171-195, August.
- Kaminsky,Graciela & Schmukler,Sergio L., 2001. "Emerging markets instability: do sovereign ratings affect country risk and stock returns?," Policy Research Working Paper Series 2678, The World Bank.
- Calvo, Guillermo A. & Mendoza, Enrique G., 2000.
"Rational contagion and the globalization of securities markets,"
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Elsevier, vol. 51(1), pages 79-113, June.
- Guillermo A. Calvo & Enrique G. Mendoza, 1999. "Regional Contagion and the Globalization of Securities Markets," NBER Working Papers 7153, National Bureau of Economic Research, Inc.
- Patrick McGuire & Martijn A Schrijvers, 2003. "Common factors in emerging market spreads," BIS Quarterly Review, Bank for International Settlements, December.
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- Eugen Scarlat, 2016. "Connectivity - Based Clustering of GDP Time Series," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 23-38, March.
More about this item
Keywordscontagion spreads; emerging markets; clustering;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
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