Volatility Spillovers among Sovereign Credit Default Swaps of Emerging Economies and Their Determinants

This paper aims to investigate the volatility spillovers among selected emerging economies’ sovereign credit default swaps (SCDSs), including those of Saudi Arabia, Russia, China, Indonesia, South Africa, Brazil, Mexico, and Turkey. Using data from January 2010 to July 2023, we apply the time-domain...

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Autors principals:	Shumok Aljarba, Nader Naifar, Khalid Almeshal
Format:	Artigo
Idioma:	Inglês
Publicat:	MDPI AG 2024-04-01
Col·lecció:	Risks
Matèries:	sovereign CDS frequency connectedness quantile connectedness global risk factors
Accés en línia:	https://www.mdpi.com/2227-9091/12/4/71
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