Another look at contagion across United States and European financial markets: Evidence from the cre...
Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets
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Publisher
Chichester, UK: John Wiley & Sons, Ltd
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English
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Chichester, UK: John Wiley & Sons, Ltd
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The paper looks at the results of Apergis, Christou and Kynigakis (2019) and proposes a novel model that allows time variation in volatility, skewness and kurtosis, based on multivariate stable distributions. The analysis also looks at bank sector CDS, insurance sector CDS, sovereign bonds, equity and volatility indices. The findings corroborate th...
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Full title
Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets
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TN_cdi_proquest_journals_2773780910
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2773780910
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ISSN
1076-9307
E-ISSN
1099-1158
DOI
10.1002/ijfe.2467
