The Relationship Between Volatility and Sovereign Credit Risk in the Emerging Markets: A Nonlinear ARDL Approach
Author:
Publisher
Ege Akademik Bakis (Ege Academic Review)
Subject
General Engineering
Reference37 articles.
1. Agliardi, E., Agliardi, R., Pinar, M., Stengos, T., & Topaloglou, N. (2012). A new country risk index for emerging markets: A stochastic dominance approach. Journal of Empirical Finance, 19(5), 741-761.
2. Aliyev, F. (2019). Testing market efficiency with nonlinear methods: Evidence from Borsa Istanbul. International Journal of Financial Studies, 7(2), 27.
3. Aliyev, F., Ajayi, R., & Gasim, N. (2020). Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100. The Journal of Economic Asymmetries, 22, e00167.
4. Alqaralleh, Huthaifa (2020). Stock return-inflation nexus; revisited evidence based on nonlinear ARDL Journal of Applied Economics, 23(1), 66-74.
5. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Ebens, H. (2001). The distribution of realized stock return volatility. Journal of Financial Economics, 61(1), 43-76.
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