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Default count-based network models for credit contagion

Agosto, Arianna; Ahelegbey, Daniel Felix - 2020

Persistent link: https://www.econbiz.de/10012322249

Tail Granger causalities and where to find them : extreme risk spillovers vs spurious linkages

Mazzarisi, Piero; Zaoli, Silvia; Campajola, Carlo; … - In: Journal of economic dynamics & control 121 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012504161

Intersectoral default contagion : a multivariate Poisson autoregression analysis

Escribano, Ana; Maggi, Mario Alessandro - In: Economic modelling 82 (2019), pp. 376-400

Persistent link: https://www.econbiz.de/10012203181

Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market

Kim, Jungmu; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 28 (2020) 3, pp. 107-122

This study aims to investigate the existence of contagion between liquid and illiquid assets in the credit default swap (CDS) market around the recent financial crisis. The authors perform analyses based on vector autoregression model and the dynamic conditional correlation model. The estimation...

Persistent link: https://www.econbiz.de/10012592651