European Government Bond Market Contagion in Turbulent Times

  • Published 2016

Abstract

In this paper we investigate the dynamics of European government bond market contagion during the financial crisis and, subsequently, during the European sovereign debt crisis. Following Bae et al. (2003), we use the coexceedance variable—joint occurrences of extreme negative and positive returns in different countries on a given day—to measure contagion… (More)

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