CDS and equity markets’ volatility linkages: lessons from the EMU crisis
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DOI: 10.1007/s11156-023-01126-7
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Cited by:
- Xu, Yongdeng & Guan, Bo & Lu, Wenna & Heravi, Saeed, 2024.
"Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets,"
Energy Economics, Elsevier, vol. 136(C).
- Xu, Yongdeng & Guan, Bo & Lu, Wenna & Heravi, Saeed, 2024. "Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets," Cardiff Economics Working Papers E2024/15, Cardiff University, Cardiff Business School, Economics Section.
- Foglia, Matteo & Di Tommaso, Caterina & Wang, Gang-Jin & Pacelli, Vincenzo, 2024. "Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- Naifar, Nader, 2024. "Examining the nexus between oil shocks and sovereign credit risk: Multidimensional insights from major oil exporters," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
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More about this item
Keywords
Credit default swap spreads; Financial crises; Systemic risk; Spillover effects; Volatility; Interconnectedness; Geopolitical risk;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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