Strength of co-movement between sector CDS indexes and relationship with major economic and financial variables over time and during investment horizons
Year of publication: |
October 2016
|
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Authors: | Hkiri, Besma ; Hammoudeh, Shawkat ; Aloui, Chaker |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 46/48, p. 4635-4654
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Subject: | Sector CDS | wavelet coherence/FIAPARCH | co-movement | investment horizon | global risk factors | Kreditderivat | Credit derivative | Portfolio-Management | Portfolio selection | Welt | World |
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