Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities
This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over the period 2004–2016. We use a rolling VAR framework that enables us to analyse...
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| Principais autores: | , |
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| 格式: | Artigo |
| 語言: | Inglês |
| 出版: |
MDPI AG
2020-09-01
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| 叢編: | Mathematics |
| 主題: | |
| 在線閱讀: | https://www.mdpi.com/2227-7390/8/10/1667 |
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