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  • IJFE-20-0555_Proof_hi

    Rights statement: This is the peer reviewed version of the following article: Tsionas, MG, Apergis, N. Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets. Int J Fin Econ. 2021; 1– 19. https://doi.org/10.1002/ijfe.2467 which has been published in final form at https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2467 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.

    Accepted author manuscript, 1.4 MB, PDF document

    Available under license: CC BY-NC: Creative Commons Attribution-NonCommercial 4.0 International License

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Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published
<mark>Journal publication date</mark>31/01/2023
<mark>Journal</mark>International Journal of Finance and Economics
Issue number1
Volume28
Number of pages19
Pages (from-to)1137-1155
Publication StatusPublished
Early online date18/01/21
<mark>Original language</mark>English

Abstract

The paper looks at the results of Apergis, Christou and Kynigakis (2019) and proposes a novel model that allows time variation in volatility, skewness and kurtosis, based on multivariate stable distributions. The analysis also looks at bank sector CDS, insurance sector CDS, sovereign bonds, equity and volatility indices. The findings corroborate their results and indicate significant evidence of contagion, especially through the channels of co-skewness and co-kurtosis. In addition, it establishes a higher order channel of causality between co-skewness and co-kurtosis.

Bibliographic note

This is the peer reviewed version of the following article: Tsionas, MG, Apergis, N. Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets. Int J Fin Econ. 2021; 1– 19. https://doi.org/10.1002/ijfe.2467 which has been published in final form at https://onlinelibrary.wiley.com/doi/10.1002/ijfe.2467 This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.