Brexit and CDS spillovers across UK and Europe
The purpose of the paper is twofold. First, it aims at identifying when UK and European (France, Germany, Italy and Spain) Credit Default Swaps (CDSs) exhibit explosivity with respect to their past behaviors. Second, it seeks to quantify the dynamics of CDS volatility spillover effects surrounding t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Università Carlo Cattaneo LIUC
2019-06-01
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| Series: | The European Journal of Comparative Economics |
| Subjects: | |
| Online Access: | http://ejce.liuc.it/18242979201901/182429792019160105.pdf |