Analysis of Relations between CDS, Stock Market, and Exchange Rate: Evidence from Covid-19
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DOI: 10.30784/epfad.1085420
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References listed on IDEAS
- Apergis, Nicholas & Danuletiu, Dan & Xu, Bing, 2022. "CDS spreads and COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
- I. Anagnostou & T. Squartini & D. Kandhai & D. Garlaschelli, 2021. "Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling," Quantitative Finance, Taylor & Francis Journals, vol. 21(9), pages 1501-1518, September.
- Ioannis Anagnostou & Tiziano Squartini & Drona Kandhai & Diego Garlaschelli, 2020. "Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling," Papers 2006.03014, arXiv.org, revised Apr 2021.
- Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June.
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More about this item
Keywords
CDS; BIST; USD/TRY Exchange Rate; Breitung and Candelon; Frequency Domain Causality;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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