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Keywords: Dynamic conditional correlation
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2020) 28 (3): 107–122.
Published: 13 October 2020
... effect by reflecting illiquidity-induced credit risk after the crisis. Finally, the dynamic conditional correlation analysis also confirms the main results. H1. LCDS Granger causes ICDS. H2. LCDS has forecasting power for ICDS. We...
