11-176/2 - Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk

• Authors
  Xin Zhang, VU University Amsterdam; Bernd Schwaab, European Central Bank; Andre Lucas, VU University Amsterdam
• Publication date
  December 13, 2011

• Keywords
  sovereign credit risk, higher order moments, time-varying parameters, financial stability
• JEL
  C32, G32