Dynamic correlations and spillover effects between CoCo bonds and other financial assets : evidence from European banking
Fangfang Li, Ping Li
| Year of publication: |
2021
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|---|---|
| Authors: | Li, Fangfang ; Li, Ping |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 38.2021, p. 1-7
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| Subject: | Correlation | CoCo bonds | DCC-GARCH | Spillover | VAR-BEKK-GARCH | Korrelation | Spillover-Effekt | Spillover effect | Wandelanleihe | Convertible bond | Rentenmarkt | Bond market | Bank | EU-Staaten | EU countries | ARCH-Modell | ARCH model | Anleihe | Bond | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2020.101486 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012487925