Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
Year of publication: |
May 2016
|
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Authors: | Fonseca, José da ; Ignatieva, Ekaterina ; Ziveyi, Jonathan |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 56.2016, p. 215-228
|
Subject: | Oil futures | CDS spread | Realized jumps | Realized volatility | Volatilität | Volatility | Kreditderivat | Credit derivative | Energiemarkt | Energy market | Rohstoffderivat | Commodity derivative | Kreditrisiko | Credit risk | Derivat | Derivative |
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