An empirical analysis of dynamic dependences in the European corporate credit markets : bonds versus credit derivatives
Year of publication: |
2014
|
---|---|
Authors: | Mayordomo, Sergio ; Peña Sánchez de Rivera, Juan Ignacio |
Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 24.2014, 7/9, p. 605-619
|
Subject: | credit spreads | market dynamic dependence | DCC-GARCH | Kreditrisiko | Credit risk | Derivat | Derivative | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | EU-Staaten | EU countries | Kreditmarkt | Credit market | Theorie | Theory |
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