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Keywords: F30
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2019) 45 (8): 1020–1040.
Published: 15 August 2019
... , Contagion Dynamic conditional correlation Bayesian cointegrated VAR Risk spillover Sovereign CDS and bond markets G01 G15 F30 (6) ln ( σ t 2 ) = ω 0 + ϕ ( L ) − 1 ( 1 − L ) − d [ 1 + ψ ( L ) ] g ( ε t − 1...
Journal Articles
Journal:
Managerial Finance
Managerial Finance (2016) 42 (10): 943–962.
Published: 10 October 2016
... only Interest rate swap markets Net spillover Spillover index Stock markets volatility E40 F30 G15 The aim of this study is to investigate volatility spillovers across the interest rate swap markets of the G7 economies, and then we discuss the informational content of the swap...
