Cross Correlation Function (CCF) Data Set and Methodology

In this data set, the dynamic causality relation between Turkey Credit default swaps (CDS) and BRICS countries (Brasil, Russia, India, China, South Africa) and most important EU economies (Germany, France, the UK, Italy, Spain) are analyzed with the Cross Correlation Function (CCF) approach. Cross Correlation Function (CCF) is a two-stage method. In the first stage, CDS of the countries are estimated with EGARCH models. In the second stage, the standardized residuals and squares obtained from the EGARCH models are used for causality test in the mean and variance for CDSs. In the data set, Excel formulas and EViews Outputs / Data set were shared.