Relation between credit default swap spreads and stock prices : a non-linear perspective
Year of publication: |
2019
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Authors: | Mateev, Miroslav ; Marinova, Elena P. |
Published in: |
Journal of economics and finance. - New York, NY : Springer, ISSN 1055-0925, ZDB-ID 1163091-7. - Vol. 43.2019, 1, p. 1-26
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Subject: | Credit default swap | iTraxx index.Cointegration | Structural breaks | Threshold | Kreditderivat | Credit derivative | Börsenkurs | Share price | Derivat | Derivative | Kreditrisiko | Credit risk | Strukturbruch | Structural break | Swap | Schätzung | Estimation |
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