Open AccessTime-varying Co-movements and Contagion Effects in Asian Sovereign CDS Markets
Author(s) -
Dae Hyoung Cho,
Kyongwook Choi
Publication year - 2015
Publication title -
east asian economic review
Language(s) - English
Resource type - Journals
eISSN - 2508-1667
pISSN - 2508-1640
DOI - 10.11644/kiep.jeai.2015.19.4.301
Subject(s) - credit default swap , spillover effect , economics , sovereignty , contagion effect , variance decomposition of forecast errors , swap (finance) , index (typography) , financial economics , monetary economics , conditional variance , autoregressive conditional heteroskedasticity , econometrics , financial crisis , credit risk , volatility (finance) , macroeconomics , finance , computer science , political science , politics , law , world wide web