Are the sovereign CDS premia sound estimators of the stock market returns? : evidence from the Eurozone
Alternative title: | ¿Son las primas CDS estimadores sólidos de los rendimientos del mercado de valores? : evidencia de la Eurozona |
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Year of publication: |
Junio 2018
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Authors: | Wic, Ana Navarrete ; Di Pietro, Filippo ; Martín Marín, José Luis |
Published in: |
Revista de métodos cuantitativos para la economía y la empresa. - Sevilla : [Verlag nicht ermittelbar], ISSN 1886-516X, ZDB-ID 2584041-1. - Vol. 25.2018, p. 130-155
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Subject: | CDS premia | stock market index return | Granger causality test | Eurozone | primas CDS | rendimiento de índices de mercado | test de causalidad de Granger | eurozona | Kreditderivat | Credit derivative | Euro area | Kapitaleinkommen | Capital income | Kausalanalyse | Causality analysis | Risikoprämie | Risk premium | Aktienindex | Stock index | EU-Staaten | EU countries | Aktienmarkt | Stock market | Schätzung | Estimation | Börsenkurs | Share price |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Zusammenfassung in spanischer Sprache |
Other identifiers: | hdl:10419/195403 [Handle] |
Classification: | G12 - Asset Pricing ; G15 - International Financial Markets ; C22 - Time-Series Models ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General |
Source: | ECONIS - Online Catalogue of the ZBW |
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