TY  - GEN
AU  - Guinea Voinea, Laurentiu
PY  - 2025
UR  - https://hdl.handle.net/20.500.14352/118843
AB  - This paper decomposes sovereign risk uncertainty in U.S. credit default swap (CDS) spreads into short-run and long-run components. We employ a Bayesian dynamic factor model within a state-space framework to link observed CDS spreads and...
LA  - eng
KW  - Sovereign Risk Uncertainty,
KW  - Short-Run vs. Long-Run Macroeconomic Shocks
KW  - Bayesian Estimation
KW  - Kalman Filter
KW  - State-Space Models.
TI  - Short- and Long-Run Sovereign Risk Uncertainty in U.S. Credit Default Swaps
TY  - working paper
ER  -