This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major … risk spillover among these countries is not affected by the size of the shock, implying that so far contagion has remained … contagion. This methodology is particularly well-suited to deal with nonlinear and unstable transmission mechanisms. …

This paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several …

This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms … propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation …

This paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several …

This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms … propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation …

This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major … risk spillover among these countries is not affected by the size of the shock, implying that so far contagion has remained … contagion. This methodology is particularly well-suited to deal with nonlinear and unstable transmission mechanisms. …