Contagion in major CDS markets for the post Global Financial Crisis: A multivariate AR-FIGARCH-cDCC approach
We explore the time-varying conditional correlations of the Sovereing CDS spread returns for Germany, France, China and Japan against USA. We employ a cDCC-AR-FIGARCH model in order to capture potential contagion effects between the markets during the 2011-2018 post global financial crisis. Empiric...
Sparad:
| Huvudupphov: | , |
|---|---|
| Materialtyp: | Artigo |
| Språk: | Inglês |
| Utgiven: |
Università degli Studi di Urbino Carlo Bo
2020-09-01
|
| Serie: | Argomenti: Rivista di Economia, Cultura e Ricerca Sociale |
| Ämnen: | |
| Länkar: | https://journals.uniurb.it./index.php/argomenti/article/view/2069 |
| Taggar: |
Inga taggar, Lägg till första taggen!
|