Can CDS indexes signal future turmoils in the stock market? : a Markov switching perspective
Year of publication: |
2014
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Authors: | Castellano, Rosella ; Scaccia, Luisa |
Published in: |
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies. - Berlin : Springer, ISSN 1435-246X, ZDB-ID 1178875-6. - Vol. 22.2014, 2, p. 285-305
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Subject: | Credit default swaps | Markov switching model | Financial crisis | Bayesian hierarchical modeling | Kreditderivat | Credit derivative | Theorie | Theory | Markov-Kette | Markov chain | Finanzkrise | Kreditrisiko | Credit risk | Bayes-Statistik | Bayesian inference | Börsenkurs | Share price | Aktienmarkt | Stock market | Schätzung | Estimation |
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