Volatility Transmission from Commodity Markets to Sovereign CDS Spreads in Emerging and Frontier Countries
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DOI: 10.1016/j.irfa.2016.11.001
Abstract: We investigate the volatility transmission from commodities to sovereign credit defaults swaps (CDS) spreads of emerging and frontier markets. Using daily data for seventeen emerging and six frontier countries, we document a significant volatility spillover… read more here.
Keywords: cds spreads; volatility; transmission; spreads emerging ... See more keywords