Browsing Arbeidsnotater / Working Papers by Author "Pelizzon, Loriana"
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Measuring Sovereign Contagion in Europe
Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto (Working Papers;5/2012, Working paper, 2012)This paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several econometric approaches (non linear regression, quantile regression and Bayesian quantile with heteroskedasticity) ...