Dynamic model for hedging of the European stock sector with credit default swaps and EURO STOXX 50 volatility index futures
In this paper, the time-varying correlations are estimated for the purpose of examining whether CDS can act as a hedge and safe haven for the European stock sectors. Similarly, the implications for portfolio design are also evaluated on daily and weekly data span bases, concerning the period ranging...
| Auteurs principaux: | , , |
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| Format: | Article |
| Langue: | English |
| Publié: |
Elsevier
2018-12-01
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| Collection: | Borsa Istanbul Review |
| Accès en ligne: | http://www.sciencedirect.com/science/article/pii/S2214845017301138 |