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Cointegration and Structural Breaks in the EU Sovereign Debt Crisis
Ferreira, N. B.; Menezes, R.; Bentes, S.First signs of a sovereign debt crisis spread among financial players in the late 2009 as a result of the growing private and government debt levels worldwide. Late 2010, Trichet (then President of the ECB) stated that the sovereign debt crisis in Europe had become systemic. In an established crisis context, it was searched for evidence of structural breaks and cointegration between interest rates and stock mar...
An analysis of equity markets cointegration in the european sovereign debt crisis
Ferreira, N. B.; Oliveira, M. M.A simplified presentation of an empirical finding in the portfolio diversification literature is that diversifying across countries is more effective in reducing risks than diversifying across industries. While the linear approach is not designed to capture a significant integration, this is not the case when Gregory and Hansen cointegration tests are used to assess this relation by allowing for instability in thes...
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