Chang, Chia-Lin; McAleer, Michael; Hammoudeh, Shawkat; … - Facultad de Ciencias Económicas y Empresariales, … - 2011
This paper examines risk transmission and migration among six US measures of credit and market risk during the full … price. There are more long-run equilibrium risk relationships and short-run causal relationships among the four oil … long run and also leads in the risk discovery process in the short run. On the other hand, the CDS spread of the highly …