Listar Artículos de revista DGE - EKS Aldizkari artikuluak por tema "Granger causality"
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Is there a connection between sovereign CDS spreads and the stock market? Evidence for European and US returns and volatilities
This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over ... -
The nexus between sovereign CDS and stock market volatility: new evidence
This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices. This estimation is performed ... -
Transmisión del riesgo de crédito en el sector bancario Europeo: crisis subprime y deuda soberana
El objetivo del presente trabajo es analizar en profundidad la transmisión del riesgo de crédito, aproximado por los CDS spreads, en el sector bancario europeo durante el periodo 2006-2012, intentando dar respuesta a ...