Wang, Alan T.; Liang, Chin Chia - In: Borsa Istanbul Review 24 (2024) 1, pp. 176-186
volatility, on the other. To capture the short- and long-run relationships between exchange rates, sovereign CDS, and market … volatility, our study applies the cross-section augmented autoregressive distributed lag (CS-ARDL) model by Chudik and Pesaran … (2015) with the pooled mean group (PMG) estimation method. The advantages of this setting are that it allows for cross …
