Exploring mispricing in the term structure of CDS spreads
Robert Jarrow, Haitao Li, Xiaoxia Ye, and May Hu
| Year of publication: |
2019
|
|---|---|
| Authors: | Jarrow, Robert A. ; Li, Haitao ; Ye, Xiaoxia ; Hu, May |
| Published in: |
Review of finance : journal of the European Finance Association. - Oxford : Oxford University Press, ISSN 1875-824X, ZDB-ID 2214390-7. - Vol. 23.2019, 1, p. 161-198
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| Subject: | Credit default swaps | Mispricing | Statistical arbitrage | Affine models | Market-neutral strategy | Hedge funds | Kreditderivat | Credit derivative | Zinsstruktur | Yield curve | Hedgefonds | Hedge fund | Arbitrage | Swap | Portfolio-Management | Portfolio selection | Risikoprämie | Risk premium |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/rof/rfy014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012035080