Understanding volatility transmission mechanism among the CDS markets : Europe & North America versus Brazil & Turkey
Year of publication: |
Janerio-Março 2013
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Authors: | Tokat, Hakki Arda |
Published in: |
Economia aplicada : EA. - Ribeirão Prêto : [FEA-RP, USP, Departamento de Economia], ISSN 1413-8050, ZDB-ID 2013461-7. - Vol. 17.2013, 1, p. 5-19
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Subject: | Volatility transmission | MV GARCH | CDS markets | Volatilität | Volatility | Türkei | Turkey | Kreditderivat | Credit derivative | Brasilien | Brazil | EU-Staaten | EU countries | ARCH-Modell | ARCH model | Nordamerika | North America |
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