TY  - RPRT
AU  - Hammoudeh, Shawkat
AU  - Liu, Tengdong
AU  - Chang, Chia-Lin
AU  - McAleer, Michael
PY  - 2011
UR  - https://hdl.handle.net/20.500.14352/48992
AB  - This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price....
LA  - eng
A3  - Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico
KW  - Risk
KW  - Sectoral CDS
KW  - VIX
KW  - SMOVE
KW  - MOVE
KW  - Adjustments.
TI  - Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
TY  - technical report
VL  - 2011
ER  -