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Three empirical essays on the informational content of financial prices

Bernoth, Kerstin - 2004

Persistent link: https://www.econbiz.de/10002524759

Time-varying co-movements and contagion effects in Asian sovereign CDS markets

Cho, Daehyoung; Choi, Kyongwook - In: Journal of East Asian economic integration 19 (2015) 4, pp. 357-379

Persistent link: https://www.econbiz.de/10011434876

Time-varying dependence between stock and government bond returns : international evidence with dynamic copulas

Jammazi, Rania; Tiwari, Aviral Kumar; Ferrer, Román; … - In: The North American journal of economics and finance : a … 33 (2015), pp. 74-93

Persistent link: https://www.econbiz.de/10011534370

The impact of regime-switching behaviour of price volatility on efficiency of the US sovereign debt market

Masood, Omar; Aktan, Bora; Gavurová, Beata; Fakhry, Bachar - In: Economic research 30 (2017) 1,2, pp. 1865-1881

Persistent link: https://www.econbiz.de/10012225200

Time-varying co-movements and contagion effects in asian sovereign CDS markets

Cho, Daehyoung; Choi, Kyongwook - In: Journal of East Asian economic integration 19 (2015) 4, pp. 357-379

We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in Asian sovereign CDS markets; that such co-movements tend...

Persistent link: https://www.econbiz.de/10011572880