Markov switching volatility connectedness across international CDS markets
Walid Mensi, Eray Gemici, Müslüm Polat, Sang Hoon Kang
| Year of publication: |
2025
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|---|---|
| Authors: | Mensi, Walid ; Gemici, Eray ; Polat, Müslüm ; Kang, Sang Hoon |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 98.2025, Art.-No. 103839, p. 1-17
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| Subject: | Connectedness | MS-DR model | Regime spillovers | Sovereign CDS | Volatilität | Volatility | Kreditderivat | Credit derivative | Spillover-Effekt | Spillover effect | Welt | World | Markov-Kette | Markov chain | Kreditrisiko | Credit risk | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2025.103839 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015330587