Szabadsag ter 8-9
Budapest , H-1850
Hungary
Magyar Nemzeti Bank
sovereign CDS spreads, country-specific fundamentals, dynamic hierarchical factor model, Eastern Europe
financial media, textual data, regular expressions, sovereign credit risk, bayesian statistics
Emerging markets, interest rate expectations, principal components, surveys, term premia
variance decomposition, factor analysis, Procrustes rotation, spillover, cross-country