Understanding volatility transmission mechanism among the cds markets: Europe & North America versus Brazil & Turkey

Understanding volatility transmission mechanism among the cds markets: Europe & North America versus Brazil & Turkey

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This study examines the volatility transmission mechanism among the developed and emerging CDS markets by employing multivariate GAR-CH modeling. As the globalization resulted with more integration of financial markets, it is important for market participants to know how the shocks and volatility ar...

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Bibliographic Details
Main Author: Hakki Arda Tokat
Format: Article
Language:Portuguese
Published: Universidade de São Paulo 2013-03-01
Series:Economia Aplicada
Subjects:
Transmissão de volatilidade
MV GARCH
Mercados de CDS
Volatility transmission
CDS markets
Online Access:http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502013000100001

Internet

http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502013000100001

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