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dc.contributor.authorTsionas, Mike G.
dc.contributor.authorApergis, Nicholas
dc.date.accessioned2021-04-09T13:57:31Z
dc.date.available2021-04-09T13:57:31Z
dc.date.issued2021-01-18
dc.identifier.citationTsionas, M.G. and Apergis, N., (2021). 'Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets'. International Journal of Finance & Economics, pp. 1-19.en_US
dc.identifier.doi10.1002/ijfe.2467
dc.identifier.urihttp://hdl.handle.net/10545/625701
dc.description.abstractThe paper looks at the results of Apergis, Christou and Kynigakis (2019) and proposes a novel model that allows time variation in volatility, skewness and kurtosis, based on multivariate stable distributions. The analysis also looks at bank sector CDS, insurance sector CDS, sovereign bonds, equity and volatility indices. The findings corroborate their results and indicate significant evidence of contagion, especially through the channels of co‐skewness and co‐kurtosis. In addition, it establishes a higher order channel of causality between co‐skewness and co‐kurtosis.en_US
dc.description.sponsorshipN/Aen_US
dc.language.isoenen_US
dc.publisherWileyen_US
dc.relation.urlhttps://onlinelibrary.wiley.com/doi/epdf/10.1002/ijfe.2467en_US
dc.subjectco-kurtosisen_US
dc.subjectco-skewnessen_US
dc.subjectco-volatilityen_US
dc.subjectfinancial contagionen_US
dc.titleAnother look at contagion across United States and European financial markets: Evidence from the credit default swaps marketsen_US
dc.typeArticleen_US
dc.identifier.eissn1099-1158
dc.contributor.departmentLancaster Universityen_US
dc.contributor.departmentUniversity of Derbyen_US
dc.identifier.journalInternational Journal of Finance and Economicsen_US
dcterms.dateAccepted2020-12-20
dc.author.detailN/Aen_US


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