On the performances of dynamic conditional correlation models in the sovereign CDS market and the corresponding bond market
Year of publication: |
2021
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Authors: | Sabkha, Saker |
Published in: |
Financial and economic systems : transformations and new challenges. - New Jersey : World Scientific, ISBN 978-1-78634-949-1. - 2021, p. 187-212
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Subject: | Kreditderivat | Credit derivative | Rentenmarkt | Bond market | Öffentliche Anleihe | Public bond | Korrelation | Correlation | ARCH-Modell | ARCH model | Risikoprämie | Risk premium |
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