This paper examines the interactions among CDS spreads across 13 European countries
using spatial econometrics techniques. Our model allows for the estimation of direct and …

Purpose The purpose of this paper is to study the evolution of financial contagion between
Eurozone banks, observing the credit default swaps (CDSs) market during the period 2009 …

We apply novel spatial econometric techniques to investigate spillovers in sovereign risk for
41 advanced and emerging economies during 2004–2019. We find that sovereign risk …

Theoretically, international EPU spillovers would amplify negative impacts of particular
shocks on countries' financial markets and macro level, which may drive sovereign risk and …

In this paper, we measure the systemic risk with a novel methodology, based on a “spatial-
temporal” approach. We propose a new bank systemic risk measure to consider the two …

Using the annual report text information of Chinese listed banks from 2007 to 2020, this
paper constructs multiple kinds of spatial weight matrices from the perspective of business …

Purpose This study is the first that aims to investigate international transmission channels of
sovereign risk among G20 and explore its influential factors by applying the …

In this globalizing world, the search for predictions of asset returns across financial markets
has challenged practitioners and academics for decades. Aware of this issue importance in …

This study examines the volatility spillover indexes among the 5-year maturity credit default
swaps of six major Asian countries (China, Indonesia, Korea, Malaysia, Thailand, and …

Sovereign credit ratings are monitored globally because they reflect the forward-looking
estimate of the default probability. In addition, they are widely accepted as an indicator of …