Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?

This paper investigates network connectedness of European sovereign bond markets from 2005 to 2011. To overcome weaknesses in alternative methodologies to estimate network connectedness we adopt the unified methodology recommended by Diebold and Yilmaz (2014). Our analysis shows that European sovere...

Full description

Saved in:
Bibliographic details
Main Author: Li, Youwei
Pantelous, Athanasios
Vigne, Samuel A
Waterworth, James
Hamill, Philip A
Format: Journal Article
Language: English
Place of publication: Elsevier 01.02.2021
published in: Journal of International Financial Markets, Institutions and Money
ORCID: 0000-0002-2142-7607
0000-0002-2142-7607
Data of publication: 2021-02
ISSN: 1042-4431
1873-0612
EISSN: 1873-0612
Discipline: Business
Subjects:
Online Access: available in Bonn?
Database: Repository@Hull
Database information Databases - DBIS