The relevance of market variables in the CDS spread volatility : an empirical post-crisis analysis
Year of publication: |
December 2018
|
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Authors: | Di Febo, Elisa ; Angelini, Eliana |
Published in: |
Global business review. - New Delhi [u.a.] : Sage, ISSN 0972-1509, ZDB-ID 2004354-5. - Vol. 19.2018, 6, p. 1462-1477
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Subject: | CDS | credit risk | credit spreads | market variables | post-crisis | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Volatilität | Volatility | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Finanzkrise | Financial crisis | Welt | World |
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