Modeling sovereign credit default swaps volatility at different tenures : an application for Latin American countries
Year of publication: |
2024
|
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Authors: | Gamboa-Estrada, Fredy ; Romero, José Vicente |
Published in: |
Borsa Istanbul Review. - Amsterdam [u.a.] : Elsevier, ISSN 2214-8450, ZDB-ID 2745445-9. - Vol. 24.2024, 4, p. 772-786
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Subject: | Component generalized autoregressive conditional heteroskedasticity models | Crisis | SCDS in Latin-American countries | Sovereign credit default swaps (SCDS) | Sovereign risk | Volatility | Kreditderivat | Credit derivative | Volatilität | Länderrisiko | Country risk | Lateinamerika | Latin America | Öffentliche Anleihe | Public bond | Finanzkrise | Financial crisis | Argentinien | Argentina | Schwellenländer | Emerging economies | Internationale Staatsschulden | International sovereign debt | ARCH-Modell | ARCH model | Swap |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1016/j.bir.2024.04.008 [DOI] |
Classification: | C22 - Time-Series Models ; c58 ; G01 - Financial Crises ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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