Browsing LIF-SAFE Working Papers by JEL Classification "C13"
Now showing items 1-2 of 2
-
Mutual Excitation in Eurozone Sovereign CDS
(2014-05-01)We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features ... -
Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test
(2021-10-14)Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for ...