Modeling corporate CDS spreads using Markov switching regressions
Year of publication: |
2024
|
---|---|
Authors: | Baltodano López, Ovielt ; Bulfone, Giacomo ; Casarin, Roberto ; Ravazzolo, Francesco |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 28.2024, 2, p. 271-292
|
Subject: | Bayesian econometrics | corporate CDS index | Markov switching | Markov-Kette | Markov chain | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Bayes-Statistik | Bayesian inference |
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