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...
সংরক্ষণ করুন:
| প্রধান লেখক: | , |
|---|---|
| বিন্যাস: | Artigo |
| ভাষা: | Inglês |
| প্রকাশিত: |
Università degli Studi di Urbino Carlo Bo
2020-09-01
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| মালা: | Argomenti: Rivista di Economia, Cultura e Ricerca Sociale |
| বিষয়গুলি: | |
| অনলাইন ব্যবহার করুন: | https://journals.uniurb.it./index.php/argomenti/article/view/2069 |
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