An anatomy of credit risk transfer between sovereign and financials in the Eurozone crisis

Residual-based tests for cointegration in models with regime shifts

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Economics, Finance, Macroeconomics +11

Asset Prices, Financial and Monetary Stability: Exploring the Nexus

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The relationship between credit default swap spreads, bond yields, and credit rating announcements

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Term Structure Model, Financial Economics, Accounting +9

Testing for two-regime threshold cointegration in vector error-correction models

Bruce E. Hansen, Byeongseon Seo · Journal of Econometrics · 2002 · 840 citations

Volatility Modeling, Two-regime Threshold Cointegration, Exchange Rate Movement +4

A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk

Viral V. Acharya, Itamar Drechsler, Philipp Schnabl · The Journal of Finance · 2014 · 798 citations

Sovereign Credit Risk, Economics, International Finance +13