Aljarba, Shumok; Naifar, Nader; Almeshal, Khalid - In: Risks : open access journal 12 (2024) 4, pp. 1-17
This paper aims to investigate the volatility spillovers among selected emerging economies' sovereign credit default ….Empirical results show that (i) Indonesia, followed by China and Mexico, are the main transmitters of sovereign credit risk volatility …. (ii) Among global factors, the volatility index (VIX), economic policy uncertainty (EPU), and global political risk (GPR …