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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