Sovereign CDS contagion in the European Union: a multivariate GARCH-in-variables analysis of volatility spill-overs
GARCH-with-variables model is used to assess volatility contagion in the Eurozone Debt Crisis. Credit Default Swaps on sovereign debt with 3 years maturity are used as a reference financial instrument, covering the sample period from 2008-2013. Daily data on Credit Default Swaps is used. We conclude...
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| Formato: | conferenceObject |
| Idioma: | eng |
| Publicado em: |
2016
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| Texto completo: | http://hdl.handle.net/10400.14/21140 |
| País: | Portugal |
| Oai: | oai:repositorio.ucp.pt:10400.14/21140 |