Asymmetric determinants of CDS spreads : U.S. industry-level evidence through the NARDL approach
Syed Jawad Hussain Shahzad, Safwan Mohd Nor, Roman Ferrer, Shawkat Hammoudeh
| Year of publication: |
January 2017
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|---|---|
| Authors: | Shahzad, Syed Jawad Hussain ; Nor, Safwan Mohd ; Ferrer, Román ; Hammoudeh, Shawkat |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 60.2017, p. 211-230
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| Subject: | Industry CDS index spreads | Asymmetries | Cointegration | NARDL model | Kreditderivat | Credit derivative | USA | United States | Kreditrisiko | Credit risk | Kointegration | Schätzung | Estimation | Zinsstruktur | Yield curve | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2016.09.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011734203