Markov switching volatility connectedness across international CDS markets
We analyze the interconnectedness of sovereign CDS premiums to assess risk spillovers over the period from April 9, 2015, to April 1, 2024, which includes major volatility episodes such as the COVID-19 pandemic and the Russia-Ukraine war. By employing time-varying parameter vector autoregression (TV...
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| Hauptverfasser: | , , , |
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
Elsevier
2025-03-01
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| Schriftenreihe: | International Review of Economics & Finance |
| Schlagworte: | |
| Online-Zugang: | http://www.sciencedirect.com/science/article/pii/S1059056025000024 |
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