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  • Search: subject:"Component generalized autoregressive conditional heteroskedasticity models"
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ARCH model 1 ARCH-Modell 1 Component generalized autoregressive conditional heteroskedasticity models 1 Country risk 1 Credit derivative 1 Credit risk 1 Crisis 1 Kreditderivat 1 Kreditrisiko 1 Lateinamerika 1 Latin America 1 Länderrisiko 1 Public bond 1 SCDS in Latin-American countries 1 Sovereign credit default swaps (SCDS) 1 Sovereign risk 1 Volatility 1 Volatilität 1 Öffentliche Anleihe 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Gamboa-Estrada, Fredy 1 Romero, José Vicente 1
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Borsa Istanbul Review 1
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ECONIS (ZBW) 1
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Modeling sovereign credit default swaps volatility at different tenures : an application for Latin American countries
Gamboa-Estrada, Fredy; Romero, José Vicente - In: Borsa Istanbul Review 24 (2024) 4, pp. 772-786
Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for macroeconomic policymakers and market practitioners. This study analyzes the main determinants of sovereign credit default swaps (SCDS) in Latin America at different tenures,...
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