Financial crises and information transfer: An empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices
Year of publication: |
2010
|
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Authors: | Ehlers, Stefan ; Gürtler, Marc ; Olboeter, Sven |
Institutions: | Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig |
Subject: | Granger-causality | iTraxx Indices | Credit Default Swaps | Day-of-the-Week-Effect | Feedback System |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number IF34V1 |
Classification: | G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; G17 - Financial Forecasting |
Source: |
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