Volatility spillovers and connectedness among credit default swap sector indexes-Reference-Cited by-同舟云学术

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Volatility spillovers and connectedness among credit default swap sector indexes

Published:2018-02-06 Issue:36 Volume:50 Page:3923-3936
ISSN:0003-6846
Container-title:Applied Economics
language:en
Short-container-title:Applied Economics

Author:

Da Fonseca José¹²^ORCID,Ignatieva Katja³^ORCID

Affiliation:

1. Business School, Department of Finance, Auckland University of Technology, Auckland, New Zealand

2. PRISM Sorbonne EA 4101, Université Paris 1 Panthéon-Sorbonne, Paris, France

3. Business School, Risk and Actuarial Studies, UNSW Australia, Sydney, Australia

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/00036846.2018.1430344

Reference31 articles.

1. The dynamics of spillover effects during the European sovereign debt turmoil

2. Economic growth, volatility, and cross-country spillovers: New evidence for the G7 countries

3. Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis

4. Econometric measures of connectedness and systemic risk in the finance and insurance sectors

5. An analysis of the spillover effects of exchange-traded funds

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1. The dynamic volatility connectedness of global financial assets during the Ebola & MERS epidemic and the COVID-19 pandemic;Applied Economics;2023-02-09

2. Stock Market Interdependence, Contagion, the Financial Subprime Crisis and the European Sovereign Debt Crisis: Evidence from the Chinese’s Stock Market;Asian Academy of Management Journal of Accounting and Finance;2022-12-30

3. Predicting tail events in a RIA-EVT-Copula framework;Physica A: Statistical Mechanics and its Applications;2022-08

4. Systemwide directional connectedness from Crude Oil to sovereign credit risk;Journal of Commodity Markets;2022-08

5. PORTFOLIO VOLATILITY SPILLOVER;International Journal of Theoretical and Applied Finance;2022-06

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