Understanding volatility transmission mechanism among the cds markets: Europe & North America versus Brazil & Turkey
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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| Format: | Article |
| Language: | Portuguese |
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Universidade de São Paulo
2013-03-01
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| Series: | Economia Aplicada |
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| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502013000100001 |