Time Series Analysis on Credit Default Swap (CDS) and Market Indicators: The Case of Türkiye
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- Omer ISKENDEROGLU & Asuman BALAT, 2018. "The Impact of Sovereign Ratings on the CDS Premiums: An Application on BRICS Countries and Turkey," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 12(2), pages 47-64.
- Eyssell, Thomas & Fung, Hung-Gay & Zhang, Gaiyan, 2013. "Determinants and price discovery of China sovereign credit default swaps," China Economic Review, Elsevier, vol. 24(C), pages 1-15.
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More about this item
Keywords
ARDL; CDS premium; granger causality test; time series; TürkiyeJournal: Yildiz Social Science Review;All these keywords.
JEL classification:
- F00 - International Economics - - General - - - General
- F30 - International Economics - - International Finance - - - General
- G00 - Financial Economics - - General - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- K00 - Law and Economics - - General - - - General (including Data Sources and Description)
- K20 - Law and Economics - - Regulation and Business Law - - - General
- M00 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - General - - - General
- M20 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - General
- O10 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - General
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