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Spillovers among CDS indexes in the US financial sector · Study

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ArticleSpillovers among CDS indexes in the US financial sector

Go Tamakoshi2013

Article2013

Spillovers among CDS indexes in the US financial sector

Go Tamakoshi · Shigeyuki Hamori

16 citations·0/0 files stored·The North American Journal of Economics and Finance

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Credit Risk and Financial Regulations

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market 2010Credit Default Swaps and the Credit Crisis 1996A causality-in-variance test and its application to financial market prices 2001A test for volatility spillover with application to exchange rates

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Year2013

Typearticle

Published2013-12-22

VenueThe North American Journal of Economics and Finance

ISSN-L1062-9408

Languageen

Citations16

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.najef.2013.12.001

openalex_workW1970040180

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