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Sector spillovers in credit markets · Study

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ArticleSector spillovers in credit markets

Jérôme Collet2018

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Articlegreen2018

Sector spillovers in credit markets

Jérôme Collet · Florian Ielpo

55 citations·0/0 files stored·Journal of Banking & 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 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 1995Multivariate Simultaneous Generalized ARCH 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2012Credit Spreads and Business Cycle Fluctuations

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Details

Year2018

Typearticle

Published2018-08-09

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations55

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2018.07.011

openalex_workW2582789151

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2015How Connected is the Global Sovereign Credit Risk Network?

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