Gómez González, José Eduardo; Uribe, Jorge; … - 2022
This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American … countries. Daily data from October 14, 2006, to August 23, 2021, are employed. Spillovers are computed both for the raw data and … most spillovers occur within groups-that is, within the series of sovereign CDS contracts and the price contracts of CDS …