Hammoudeh, Shawkat; Chang, Chia-Lin; McAleer, Michael; … - Faculteit der Economische Wetenschappen, Erasmus … - 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...