Modeling transmissions of volatility shocks : application to CDS spreads during the euro area sovereign crisis
Makram Bellalah, Mondher Bellalah, Haifa Boussada
| Year of publication: |
2016
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|---|---|
| Authors: | Bellalah, Makram ; Bellalah, Mondher ; Boussada, Haifa |
| Published in: |
International journal of business. - Taichung, Taiwan : College of Management, Chaoyang University of Technology, ISSN 1083-4346, ZDB-ID 1315114-9. - Vol. 21.2016, 1, p. 1-25
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| Subject: | sovereign debt crisis | DCC GARCH | cointegration | transmission | volatility shocks | Volatilität | Volatility | Eurozone | Euro area | Schock | Shock | Schuldenkrise | Debt crisis | ARCH-Modell | ARCH model | Kreditderivat | Credit derivative | EU-Staaten | EU countries | Öffentliche Anleihe | Public bond | Geldpolitische Transmission | Monetary transmission | Öffentliche Schulden | Public debt | DSGE-Modell | DSGE model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011457828