Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities

6533b861fe1ef96bd12c441e

RESEARCH PRODUCT

Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities

subject

Credit default swap Social connectedness General Mathematics Monetary economics Granger causality Sovereignty 0502 economics and business Computer Science (miscellaneous)Economics Rolling VAR model 050207 economics Engineering (miscellaneous)Crèdit 050208 finance Stock market CDS market lcsh:Mathematics 05 social sciences Equity (finance)lcsh:QA1-939 Stock market index Granger causality Sovereign credit Stock market Borsa de valors

description

This study complements the current literature, providing a thorough investigation of the lead&ndash

year	journal	country	edition	language
2020-09-28	Mathematics

https://doi.org/10.3390/math8101667

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