The reaction of sovereign CDS spread volatilities to news announcements
Year of publication: |
September 2016
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Authors: | Bouzgarrou, Houssam ; Chebbi, Tarek |
Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 17.2016, 5, p. 347-360
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Subject: | news announcements | CDS spreads | euro-area countries | Kreditderivat | Credit derivative | Volatilität | Volatility | Ankündigungseffekt | Announcement effect | Eurozone | Euro area | Zinsstruktur | Yield curve | Börsenkurs | Share price | EU-Staaten | EU countries | Risikoprämie | Risk premium | Politische Kommunikation | Political communication | Öffentliche Schulden | Public debt | Länderrisiko | Country risk |
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