Contagion in CDS, banking and equity markets
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DOI: 10.1016/j.ecosys.2015.07.002
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- Rodrigo César de Castro Miranda & Benjamin Miranda Tabak & Mauricio Medeiros Junior, 2012. "Contagion in CDS, Banking and Equity Markets," Working Papers Series 293, Central Bank of Brazil, Research Department.
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Citations
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Cited by:- Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2017.
"Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants,"
International Review of Economics & Finance,
Elsevier, vol. 47(C), pages 46-61.
- Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2016. "Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants," MPRA Paper 74705, University Library of Munich, Germany, revised 20 Oct 2016.
- Saker Sabkha & Christian De Peretti & Dorra Hmaied, 2017. "The Credit Default Swap market contagion during recent crises: International evidence," Working Papers hal-01572510, HAL.
- Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
- Saker Sabkha & Christian De Peretti & Dorra Hmaied, 2018. "The Credit Default Swap market contagion during recent crises: International evidence," Post-Print hal-01572510, HAL.
- repec:eee:finlet:v:22:y:2017:i:c:p:163-168 is not listed on IDEAS
- repec:eme:ijmfpp:ijmf-02-2017-0018 is not listed on IDEAS
More about this item
Keywords
Contagion; Correlation; Coskewness; Endogenous testing; G01; G15;JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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