On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market
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DOI: 10.1142/9781786349507_0008
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More about this item
Keywords
DCC-class models; Multivariate diagnostic tests; Time-varying correlation; Sovereign credit market;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- F02 - International Economics - - General - - - International Economic Order and Integration
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2023-03-13 (Econometric Time Series)
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