Kumar, Pawan; Singh, Vipul Kumar - In: Financial innovation : FIN 11 (2025), pp. 1-22
This study investigates the determinants that drive the volatility of the credit default swaps (CDS) of BRICIT (Brazil, Russia, India, China, Indonesia, and Turkey) nations as a proxy measure for sovereign risk. On the existence of cointegration, an unrestricted error correction model integrated...