Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis
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- Ansgar Belke & Christian Gokus, 2011.
"Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions,"
Discussion Papers of DIW Berlin
1107, DIW Berlin, German Institute for Economic Research.
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More about this item
KeywordsCredit risk; Credit default swaps; iTraxx index; Vector autoregression; Multivariate GARCH; BEKK;
- G01 - Financial Economics - - General - - - Financial Crises
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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