Understanding volatility transmission mechanism among the cds markets: Europe & North America versus Brazil & Turkey

Economia Aplicada

Hakki Arda Tokat¹ 

[1] ,University of Economics and Technology Department of International Entrepreneurship, Place Name placeTOBB

关键词: Volatility transmission;    MV GARCH;    CDS markets;    Transmissão de volatilidade;    MV GARCH;    Mercados de CDS;   

DOI  :  10.1590/S1413-80502013000100001

来源: SciELO

【 摘 要 】

This study examines the volatility transmission mechanism among the developed and emerging CDS markets by employing multivariate GAR-CH modeling. As the globalization resulted with more integration of financial markets, it is important for market participants to know how the shocks and volatility are transmitted over time across the markets. It is also important to know if the volatility transmission changes during the times of financial crises. Significant transmission of shocks and volatility is found among different CDS markets. Contrary to previous studies showing one-way transmission of volatility from developed to emerging markets, interdependence detected among different markets indicates the presence of cross-market hedging.

【 授权许可】

CC BY-NC   
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