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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Bibliographic Details
Main Author: Oliveira, Maria Alberta (author)
Other Authors: Santos, Carlos (author)
Format: conferenceObject
Language:eng
Published: 2016
Subjects:
Eurozone debt crisis
Contagion
GARCH
Volatility
Credit Default Swaps
Online Access:http://hdl.handle.net/10400.14/21140
Country:Portugal
Oai:oai:repositorio.ucp.pt:10400.14/21140

Internet

http://hdl.handle.net/10400.14/21140

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