Macro risk factors of credit default swap indices in a regime-switching framework
Year of publication: |
2014
|
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Authors: | Kam Fong Chan ; Marsden, Alastair |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 29.2014, p. 285-308
|
Subject: | Credit default swap indices | Investment-grade | High-yield | Regime-switching | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Swap | Wirtschaftsindikator | Economic indicator | Risikoprämie | Risk premium | Schätzung | Estimation | Derivat | Derivative | Welt | World |
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