Hammoudeh, S.M.; Liu, T.; Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...