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Spillovers between sovereign CDS and exchange rate markets: The role of market fear · Study

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ArticleSpillovers between sovereign CDS and exchange rate markets: The role of market fear

Qianqian Feng2020

Article2020

Spillovers between sovereign CDS and exchange rate markets: The role of market fear

Qianqian Feng · Xiaolei Sun · Chang Xin Liu · Jianping Li

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

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Financial Risk and Volatility Modeling Global Financial Crisis and Policies Market Dynamics and Volatility

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References

2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2020COVID-19 and finance: Agendas for future research 2020COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach 2020The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies 2020Searching for safe-haven assets during the COVID-19 pandemic 2020COVID-19: Media coverage and financial markets behavior—A sectoral inquiry

Cited by

2022Critical Factors Influencing Cost Overrun in Construction Projects: A Fuzzy Synthetic Evaluation 2021Forecasting China’s sovereign CDS with a decomposition reconstruction strategy 2023Modeling the global sovereign credit network under climate change 2022What drives cross-border spillovers among sovereign CDS, foreign exchange and stock markets?2021

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Details

Year2020

Typearticle

Published2020-10-26

VenueThe North American Journal of Economics and Finance

ISSN-L1062-9408

Languageen

Citations56

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.najef.2020.101308

openalex_workW3094730969

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