Review paper

Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective

Volume: 68, Pages: 101271 - 101271
Published: Mar 1, 2020
Abstract
In the wake of the globalization of financial markets, studying spillovers among different asset markets, especially spillovers that include sovereign CDS markets, is of vital importance. This paper attempts to build a spillover network to investigate the complex interactions within the system of sovereign CDS, stock and commodity markets by adopting the spillover index based on forecast error variance (FEV) decomposition. The results reveal...
Paper Details
Title
Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective
Published Date
Mar 1, 2020
Volume
68
Pages
101271 - 101271
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