The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis
Year of publication: |
2012
|
---|---|
Authors: | Wang, Ping ; Moore, Tomoe |
Published in: |
Journal of International Financial Markets, Institutions and Money. - Elsevier, ISSN 1042-4431. - Vol. 22.2012, 1, p. 1-15
|
Publisher: |
Elsevier |
Subject: | Credit default swap | Time-varying correlation | GARCH | Credit market integration |
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