Hawkes-diffusion process and the conditional probability of defaults in the Eurozone
Author:
Funder
Hallym University
Publisher
Elsevier BV
Subject
Condensed Matter Physics,Statistics and Probability
Reference20 articles.
1. S. Edwards, LDC’s foreign borrowing and default risk: An empirical investigation, NBER, 1984.
2. Modeling sovereign yield spreads: A case study of Russian debt;Duffie;J. Financ.,2003
3. B. Eichengreen, A. Mody, What explains changing spreads on emerging-market debt: Fundamentals or market sentiment? NBER, 1998.
4. Emerging market instability: do sovereign ratings affect country risk and stock returns?;Kaminsky;World Bank Econ. Rev.,2002
5. How sovereign is sovereign credit risk?;Longstaff;Amer. Econ. J.,2011
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