Sovereign Default Analysis through Extreme Events Identification
<em>This paper investigates contagion in international credit markets through the use of a novel jump detection technique proposed by Chan and Maheuin (2002). This econometrical methodology is preferred because it is non-linear by definition and not a subject to volatility bias. Also, the iden...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2015-06-01
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| Series: | Management Dynamics in the Knowledge Economy |
| Online Access: | http://www.managementdynamics.ro/index.php/journal/article/view/138 |