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Volatility spillovers in the European bank CDS market · Study

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ArticleVolatility spillovers in the European bank CDS market

Aida Alemany2015

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Articlegreen2015

Volatility spillovers in the European bank CDS market

Aida Alemany · Laura Ballester · Ana González‐Urteaga

31 citations·0/0 files stored·Finance research letters

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Credit Risk and Financial Regulations

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1995Multivariate Simultaneous Generalized ARCH 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1986Alternative Explanations of the Money-Income Correlation 1986Are Forecasting Models Usable for Policy Analysis?2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps 2011How Sovereign Is Sovereign Credit Risk?1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

Cited by

2019Spillover across Eurozone credit market sectors and determinants 2015Credit contagion and competitive effects of bond rating downgrades along the supply chain 2019An alternative approach to predicting bank credit risk in Europe with Google data 2016Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries 2021Spillover and risk transmission in the components of the term structure of eurozone yield curve

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Details

Year2015

Typearticle

Published2015-03-06

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations31

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.frl.2015.02.003

openalex_workW2035903161

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