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http://bura.brunel.ac.uk/handle/2438/8672Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Moore, T | - |
| dc.date.accessioned | 2014-07-15T08:52:26Z | - |
| dc.date.available | 2014-07-15T08:52:26Z | - |
| dc.date.issued | 2012 | - |
| dc.identifier.citation | Journal of International Financial Markets, Institutions and Money, 22(1), 1 - 15, 2012 | en_US |
| dc.identifier.issn | 1042-4431 | - |
| dc.identifier.uri | http://www.sciencedirect.com/science/article/pii/S1042443111000424 | en |
| dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/8672 | - |
| dc.description | This is the post-print version of the final paper published in Journal of International Financial Markets, Institutions and Money. The published article is available from the link below. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. Copyright @ 2011 Elsevier B.V. | en_US |
| dc.description.abstract | This paper investigates the integration of the credit default swap (CDS) markets of 38 developed and emerging countries with the US market during the subprime crisis period by utilising dynamic conditional correlation from the multivariate GARCH model. Evidence reveals that the Lehman shock seems to have strengthened the integration, in particular, for developed markets. For both developed and emerging markets, declining US interest rates are found to be the main driving factor behind the higher level of correlation, suggesting that the CDS markets were heavily driven by the world largest economy when the crisis reached its peak. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.subject | Credit default swap | en_US |
| dc.subject | Time-varying correlation | en_US |
| dc.subject | GARCH | en_US |
| dc.subject | Credit market integration | en_US |
| dc.title | The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis | en_US |
| dc.type | Article | en_US |
| dc.identifier.doi | http://dx.doi.org/10.1016/j.intfin.2011.07.001 | - |
| pubs.organisational-data | /Brunel | - |
| pubs.organisational-data | /Brunel/Brunel Active Staff TxP | - |
| pubs.organisational-data | /Brunel/Brunel Active Staff TxP/College of Business, Arts and Social Sciences | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups/Centre for Research into Entrepreneurship, International Business and Innovation in Emerging Markets | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute of Cancer Genetics and Pharmacogenomics | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Centre for Systems and Synthetic Biology | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Information Systems, Computing and Mathematics - URCs and Groups/Multidisclipary Assessment of Technology Centre for Healthcare (MATCH) | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups | - |
| pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups/Centre for Empirical Finance | - |
| Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Fulltext.pdf | 719.24 kB | Adobe PDF | View/Open |
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