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Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis : from the perspective of the credit default swaps’ G14 dealers
Salloy, Suzanne; Kazi, Irfan Akbar - 2012
Persistent link: https://www.econbiz.de/10010201410
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Dynamics in the correlations of the Credit Default Swaps’ G14 dealers: Are there any contagion effects due to Lehman Brothers’ bankruptcy and the global financial crisis?
Kazi, Irfan Akbar; Salloy, Suzanne - Institut de Préparation à l'Administration et à la … - 2014
This article investigates the dynamics of conditional correlation among the G14 banks’ dealer for the credit default swap market from January 2004 until May 2009. By using the asymmetric dynamic conditional correlation model developed by Cappiello, Engle and Sheppard (2006), we examine if...
Persistent link: https://www.econbiz.de/10010764048
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Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis - From the perspective of the Credit Default Swaps’ G14 dealers
Kazi, Irfan Akbar; Salloy, Suzanne - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013
This article investigates the dynamics of conditional correlation among the G14 banks’ dealer for the credit default swap market from January 2004 until May 2009. By using the asymmetric dynamic conditional correlation model developed by Cappiello, Engle and Sheppard (2006), we examine if...
Persistent link: https://www.econbiz.de/10010627865