Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets
Year of publication: |
2023
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Authors: | Procasky, William J. ; Yin, Anwen |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 64.2023, p. 1-14
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Subject: | CDS indices | Forecast evaluation | Informational flow | Market efficiency | Structural break | Effizienzmarkthypothese | Efficient market hypothesis | Kreditderivat | Credit derivative | Strukturbruch | Aktienmarkt | Stock market | Informationsverbreitung | Information dissemination | Prognoseverfahren | Forecasting model |
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