The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks?

DOI10.1515/SNDE-2019-0141OpenAlexW3159827469MaRDI QIDQ2700555

Frank Scrimgeour, Leon Li

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0141

zbMATH Keywords

volatilityMarkov-switching modelVECMCDSsovereign bonds

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Efficient Tests for an Autoregressive Unit Root

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