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
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Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Another look at contagion across United States and European financial markets
T2 - Evidence from the credit default swaps markets
AU - Tsionas, Mike G.
AU - Apergis, Nicholas
N1 - 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.
PY - 2023/1/31
Y1 - 2023/1/31
N2 - 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.
AB - 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.
KW - Economics and Econometrics
KW - Finance
KW - Accounting
U2 - 10.1002/ijfe.2467
DO - 10.1002/ijfe.2467
M3 - Journal article
VL - 28
SP - 1137
EP - 1155
JO - International Journal of Finance and Economics
JF - International Journal of Finance and Economics
SN - 1076-9307
IS - 1
ER -