Contagion in major CDS markets for the post Global Financial Crisis : a multivariate AR-FIGARCH-cDCC approach
Alternative title: | Contagio nei principali mercati CDS dopo la crisi finanziaria globale : un approccio AR-FIGARCH-cDCC multivariato |
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Year of publication: |
2020
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Authors: | Tsiaras, Konstantinos ; Simos, Theodore |
Published in: |
Argomenti : rivista di economia, cultura e ricerca sociale. - Milano : Angeli, ISSN 1971-8357, ZDB-ID 2405008-8. - Vol. 16.2020, p. 79-99
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Subject: | Financial contagion | Global Financial Crisis | cDCC-AR-FIGARCH model | Sovereign CDS market | Finanzkrise | Financial crisis | Kreditderivat | Credit derivative | Welt | World | Ansteckungseffekt | Contagion effect | Internationaler Finanzmarkt | International financial market | Spillover-Effekt | Spillover effect |
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