Contagion across US and European financial markets: Evidence from the CDS markets
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DOI: 10.1016/j.jimonfin.2019.04.006
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More about this item
Keywords
Cokurtosis; Correlation; Coskewness; Covolatility; Financial contagion; Financial crisis;All these keywords.
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G01 - Financial Economics - - General - - - Financial Crises
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
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