A spatial analysis of contagion in sovereign credit default swaps
Pelin Akçagün-Narin, Süleyman Taşpınar, and Osman Doğan
| Year of publication: |
2025
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|---|---|
| Authors: | Akçagün-Narin, Pelin ; Taṣpınar, Süleyman ; Doğan, Osman |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 23.2025, 3, Art.-No. nbaf011, p. 1-36
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| Subject: | CDS spreads | contagion | spatial correlation | time-varying parameters | systemic risk | Kreditderivat | Credit derivative | Ansteckungseffekt | Contagion effect | Finanzkrise | Financial crisis | Kreditrisiko | Credit risk | Korrelation | Correlation | Systemrisiko | Systemic risk | Schätzung | Estimation | Welt | World | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaf011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015425423