Volatility spillovers between sovereign CDS and futures markets in various volatility states : evidence from an emerging economy around the pandemic
Year of publication: |
2023
|
---|---|
Authors: | Gök, Remzi ; Bouri, Elie ; Gemici, Eray |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 66.2023, p. 1-27
|
Subject: | Futures contracts | Hedging Effectiveness | Portfolio Weights: Turkish financial markets | Quantile connectedness | Volatilität | Volatility | Türkei | Turkey | Spillover-Effekt | Spillover effect | Hedging | Schwellenländer | Emerging economies | Finanzmarkt | Financial market | Kreditderivat | Credit derivative | Öffentliche Anleihe | Public bond | Schätzung | Estimation | Derivat | Derivative |
-
Oil volatility and sovereign risk of BRICS
Bouri, Elie, (2018)
-
Time-varying co-movements and contagion effects in Asian sovereign CDS markets
Cho, Daehyoung, (2015)
-
Time-varying co-movements and contagion effects in asian sovereign CDS markets
Cho, Daehyoung, (2015)
- More ...
-
Predictability of risk appetite in Turkey : local versus global factors
Gemici, Eray, (2023)
-
Gök, Remzi, (2022)
-
Bouri, Elie, (2024)
- More ...