Sector spillovers in credit markets
Jerome Collet, Florian Ielpo
| Year of publication: |
September 2018
|
|---|---|
| Authors: | Collet, Jerome ; Ielpo, Florian |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 94.2018, p. 267-278
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| Subject: | Credit spreads | Volatility spillovers | Credit sectors | Connectedness | Systemic risk | Markov switching | VAR | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Kreditmarkt | Credit market | Kreditrisiko | Credit risk | Zinsstruktur | Yield curve | VAR-Modell | VAR model | Systemrisiko | Markov-Kette | Markov chain | Schätzung | Estimation | Schock | Shock |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2018.07.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011966651