Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery
Year of publication: |
2007
|
---|---|
Authors: | Dötz, Niko |
Institutions: | Deutsche Bundesbank |
Subject: | price discovery | credit risk | corporate bonds | credit derivatives | Kalman filter |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2007,08 |
Classification: | G14 - Information and Market Efficiency; Event Studies ; G10 - General Financial Markets. General ; C32 - Time-Series Models |
Source: |
-
Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery
Dötz, Niko, (2007)
-
The comovement of credit default swap, bond and stock markets: An empirical analysis
Norden, Lars, (2004)
-
The comovement of credit default swap, bond and stock markets: An empirical analysis
Norden, Lars, (2004)
- More ...
-
Decomposition of country-specific corporate bond spreads
Dötz, Niko, (2014)
-
Cash holdings of German open-end equity funds: Does ownership matter?
Dötz, Niko, (2013)
-
Dötz, Niko, (2010)
- More ...