Autori: Simos, Theodore , Tsiaras, Konstantinos
Titolo: Contagion in major CDS markets for the post Global Financial Crisis: A multivariate AR-FIGARCH-cDCC approach
Periodico: Argomenti : rivista di economia, cultura e ricerca sociale (Online)
Anno: 2020 - Fascicolo: 16 - Pagina iniziale: 79 - Pagina finale: 99

We explore the time-varying conditional correlations of the Sovereing CDS spread returns for Germany, France, China and Japan against USA. We employ a cDCC-AR-FIGARCH model in order to capture potential contagion effects between the markets during the 2011-2018 post global financial crisis. Empirical results do not reject contagion for the country pairs: Germany–France, Germany–Japan and France–Japan while there is little support for contagion among China and the rest of the countries. Keywords: Financial contagion, Global Financial Crisis, cDCC-AR-FIGARCH model, Sovereign CDS market JEL classification: C58, F30, G01, G15




SICI: 1971-8357(2020)16<79:CIMCMF>2.0.ZU;2-T
Testo completo: https://journals.uniurb.it/index.php/argomenti/article/view/2069/2090

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