The impact of the Argentine default on volatility co-movements in emerging bond markets

Author:

Cifarelli Giulio,Paladino Giovanna

Publisher

Elsevier BV

Subject

Economics and Econometrics,Business and International Management

Reference30 articles.

1. Market Models, A Guide to Financial Data Analysis;Alexander,2001

2. On the covariance matrices used in value-at-risk models;Alexander;Journal of Derivatives,1997

3. Bae, K.-H., Bailey, W., Mao, C.X., 2004. Stock Market Liberalization and the Information Environment. Mimeo, Cornell University.

4. Bailey, W., Mao, C.X., Sirodom, K., 2004. Investment Restrictions and the Cross-Border Flow of Information: Some Empirical Evidence. Mimeo, Cornell University.

5. Emerging equity market volatility;Bekaert;Journal of Financial Economics,1997

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