Time varying and asymmetric effect between sovereign credit market and financial market: The asymmetric DCC model
Year of publication: |
2017
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Authors: | El Abed, Riadh ; Zardoub, Amna |
Publisher: |
Kiel : Kiel Institute for the World Economy (IfW) |
Subject: | A-DCC model | EGARCH | asymmetries | CDSs and financial market indicators |
Series: | Economics Discussion Papers ; 2017-97 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 100559161X [GVK] hdl:10419/171372 [Handle] RePEc:zbw:ifwedp:201797 [RePEc] |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; C32 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: |
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El Abed, Riadh, (2017)
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Krasnosselski, Nikolai, (2014)
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Mighri, Zouheir, (2014)
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El Abed, Riadh, (2019)
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Short- and long-term effects of financial flows on economic growth
Zardoub, Amna, (2019)
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El Abed, Riadh, (2017)
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