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Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets

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  • Mike G. Tsionas
  • Nicholas Apergis

Abstract

The paper looks at the results of Apergis, Christou and Kynigakis (2019) and proposes a novel model that allows time variation in volatility, skewness and kurtosis, based on multivariate stable distributions. The analysis also looks at bank sector CDS, insurance sector CDS, sovereign bonds, equity and volatility indices. The findings corroborate their results and indicate significant evidence of contagion, especially through the channels of co‐skewness and co‐kurtosis. In addition, it establishes a higher order channel of causality between co‐skewness and co‐kurtosis.

Suggested Citation

  • Mike G. Tsionas & Nicholas Apergis, 2023. "Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1137-1155, January.
    • Handle: RePEc:wly:ijfiec:v:28:y:2023:i:1:p:1137-1155
    DOI: 10.1002/ijfe.2467
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    References listed on IDEAS

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    Cited by:

    1. Lim, Seo-Yeon & Choi, Sun-Yong, 2024. "Dynamic credit risk transmissions among global major industries: Evidence from the TVP-VAR spillover approach," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).

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