Cross-market risk spillovers among sovereign CDS, stock, foreign exchange and commodity markets : An interacting network perspective
Year of publication: |
2023
|
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Authors: | Huang, Wei-Qiang ; Liu, Peipei |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 90.2023, p. 1-18
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Subject: | Block model | Cross-market risk spillovers | Driving factors | Interacting network | Sovereign CDS | Spillover-Effekt | Spillover effect | Kreditderivat | Credit derivative | Länderrisiko | Country risk | Volatilität | Volatility | Welt | World | Risikoprämie | Risk premium |
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