Cointegration test with stationary covariates and the CDS-bond basis during the financial crisis
Year of publication: |
2011
|
---|---|
Authors: | Wu, Jason J. ; Game, Aaron L. |
Institutions: | Federal Reserve Board (Board of Governors of the Federal Reserve System) |
Subject: | Swaps (Finance) | Corporate bonds | Econometric models |
-
Did liquidity providers become liquidity seekers?
Choi, Jaewon, (2013)
-
Explaining credit default swap spreads with the equity volatility and jump risks of individual firms
Zhang, Benjamin Yibin, (2005)
-
Empirical Evidence of Pricing Efficiency in Niche Markets
Koch, Sandra Idelle, (2000)
- More ...
-
Cointegration test with stationary covariates and the CDS-bond basis during the financial crisis
Wu, Jason J., (2011)
-
The Taylor rule and forecast intervals for exchange rates
Wang, Jian, (2009)
-
Dynamic factor value-at-risk for large, heteroskedastic portfolios
Aramonte, Sirio, (2011)
- More ...