The Credit Default Swap market contagion during recent crises : international evidence
Year of publication: |
2019
|
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Authors: | Sabkha, Saker ; Peretti, Christian de ; Hmaied, Dorra Mezzez |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 53.2019, 1, p. 1-46
|
Subject: | Sovereign risk spillover | Credit default swaps | Contagion phenomenon | Dynamic conditional correlation | Kreditderivat | Credit derivative | Finanzkrise | Financial crisis | Ansteckungseffekt | Contagion effect | Welt | World | Spillover-Effekt | Spillover effect | Kreditrisiko | Credit risk | Schätzung | Estimation | Länderrisiko | Country risk | Risikoprämie | Risk premium | Swap |
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