On the interplay between US sectoral CDS, stock and VIX indices : fresh insights from wavelet approaches
Syed Jawad Hussain Shahzad, Chaker Aloui, Rania Jammazi
| Year of publication: |
2020
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|---|---|
| Authors: | Shahzad, Syed Jawad Hussain ; Aloui, Chaker ; Jammazi, Rania |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 33.2020, p. 1-9
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| Subject: | Credit default swaps | Stock markets | Volatility index | Wavelet squared coherence | Kreditderivat | Credit derivative | Volatilität | Volatility | Aktienmarkt | Stock market | Zustandsraummodell | State space model | Aktienindex | Stock index | Börsenkurs | Share price | Index | Index number | USA | United States | 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.2019.06.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012430932