Cross-border spillovers in G20 sovereign CDS markets: cluster analysis based on K-means machine learning algorithm and TVP–VAR models
Author:
Funder
National Social Science Fund
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s00181-024-02628-6.pdf
Reference74 articles.
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3. Aizenman J, Hutchison M, Jinjarak Y (2013) What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk. J Int Money Financ 34:37–59. https://doi.org/10.1016/j.jimonfin.2012.11.011
4. Albertazzi U, Ropele T, Sene G, Signoretti FM (2014) The impact of the sovereign debt crisis on the activity of Italian banks. J Bank Financ 46:387–402. https://doi.org/10.1016/j.jbankfin.2014.05.005
5. Andrade SC, Chhaochharia V (2018) The costs of sovereign default: evidence from the stock market. Rev Financ Stud 31(5):1707–1751. https://doi.org/10.1093/rfs/hhx136
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