Modelling Sovereign Risk Transmission in Europe

Animated Spillover Density

The animated plot shows both a histogram and a kernel density estimate fitted to the histogram

The histogram plotted in red shows the frequency with which spillovers of different strengths occur. It is plotted on the left axis

We refer to the blue line as the spillover density. It is plotted on the right axis

In this case, the spillover density is estimated using the Gaussian kernel -- other kernel density estimators are reported in the paper

The transition from one frame to the next represents the passage of one trading day

The spillover density moves to the right during the financial crisis -- this is evidence of stronger risk spillovers among sovereigns at this time