Volatility patterns of CDS, bond and stock markets before and during the financial crisis: Evidence from major financial institutions
Year of publication: |
2011
|
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Authors: | Belke, Ansgar ; Gokus, Christian |
Publisher: |
s.l. : Research On Money in the Economy (ROME) |
Subject: | Bond markets | credit default swaps | credit risk | financial crisis | GARCH | stock markets | volatility |
Series: | ROME Discussion Paper Series ; 11-02 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 773141413 [GVK] hdl:10419/88201 [Handle] |
Classification: | C53 - Forecasting and Other Model Applications ; G01 - Financial Crises ; G21 - Banks; Other Depository Institutions; Mortgages ; G24 - Investment Banking; Venture Capital; Brokerage |
Source: |
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Belke, Ansgar, (2011)
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Belke, Ansgar, (2011)
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