Option-Implied Correlation between iTraxx Europe Financials and Non-Financials Indexes : A Measure of Spillover Effect in European Debt Crisis
Year of publication: |
2013
|
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Authors: | Hui, Cho-Hoi |
Other Persons: | Lo, Chi-Fai (contributor) ; Lau, C.S. (contributor) |
Publisher: |
[2013]: [S.l.] : SSRN |
Subject: | EU-Staaten | EU countries | Europa | Europe | Korrelation | Correlation | Eurozone | Euro area | Spillover-Effekt | Spillover effect | Kreditderivat | Credit derivative | Aktienindex | Stock index |
Extent: | 1 Online-Ressource (10 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Banking and Finance, Vol. 37, pp. 3694-3703, 2013 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 2, 2013 erstellt |
Other identifiers: | 10.2139/ssrn.2032020 [DOI] |
Classification: | F31 - Foreign Exchange ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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