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...
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| Автори: | , |
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| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
Università degli Studi di Urbino Carlo Bo
2020-09-01
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| Серія: | Argomenti: Rivista di Economia, Cultura e Ricerca Sociale |
| Предмети: | |
| Онлайн доступ: | https://journals.uniurb.it./index.php/argomenti/article/view/2069 |
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