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Risk spillovers between global corporations and Latin American sovereigns : global factors matter

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 for filtered series which factor out the effect...

Persistent link: https://www.econbiz.de/10014495999