The leverage effect puzzle : the case of European sovereign credit default swap market
Year of publication: |
October 2016
|
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Authors: | Kliber, Agata |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 19.2016, 3, p. 217-235
|
Subject: | Credit default swap | Emerging markets | Leverage effect | Stochastic volatility | Hypergeometric function | Kreditderivat | Credit derivative | Volatilität | Volatility | Schwellenländer | Emerging economies | Schätzung | Estimation | Kapitalstruktur | Capital structure | Swap | EU-Staaten | EU countries |
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