Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes : a measure of spillover effect in European debt crisis
Cho-Hoi Hui; Chi-Fai Lo; Chun-Sing Lau
| Year of publication: |
2013
|
|---|---|
| Authors: | Hui, Cho H. ; Lo, Chi-fai ; Lau, Chun-sing |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 9, p. 3694-3703
|
| Subject: | Credit default swaps | Spillover effect | European debt crisis | Option-implied correlation | Kreditderivat | Credit derivative | EU-Staaten | EU countries | Spillover-Effekt | Korrelation | Correlation | Eurozone | Euro area | Europa | Europe | Kreditrisiko | Credit risk | Schuldenkrise | Debt crisis | Aktienindex | Stock index |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010126296