| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5084936 | International Review of Financial Analysis | 2013 | 8 Pages |
Abstract
This study examines the potential risk reducing benefits of credit default swaps (CDS) against risk in U.S. stock market sectors from 2004 to 2011. Tests of GARCH dynamic conditional correlation coefficients indicate that CDS serve as an effective hedge against risk in all stock sectors. CDS also provide a safe haven in times of extreme stock market volatility and during periods of financial crisis in a limited number of sectors.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mitchell Ratner, Chih-Chieh (Jason) Chiu,