Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis
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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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