Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work?

The purpose of the paper is to investigate the relationship between sovereign Credit Default Swap (CDS) and stock markets in nine emerging economies from Central and Eastern Europe (CEE), using daily data over the period January 2008−April 2018. The analysis deploys a Vector Autoregressive mod...

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Autors principals:	Sorin Gabriel Anton, Anca Elena Afloarei Nucu
Format:	Artigo
Idioma:	Inglês
Publicat:	MDPI AG 2020-03-01
Col·lecció:	Entropy
Matèries:	cee countries credit default swap stock market vector autoregressive (var) model
Accés en línia:	https://www.mdpi.com/1099-4300/22/3/338
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