Conditional euro area sovereign default risk
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More about this item
Keywordssovereign credit risk; higher order moments; time-varying parameters; financial stability;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-30 (All new papers)
- NEP-BAN-2013-06-30 (Banking)
- NEP-CBA-2013-06-30 (Central Banking)
- NEP-EEC-2013-06-30 (European Economics)
- NEP-RMG-2013-06-30 (Risk Management)
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