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~institution:"Institut ekonomických studií, Univerzita Karlova v Praze"
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CDS valuation
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Johansen cointegration test
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credit default swap
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debt crisis
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reduced form model
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Buzková, Petra
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Institut ekonomických studií, Univerzita Karlova v Praze
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
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Federal Reserve Board (Board of Governors of the Federal Reserve System)
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Has the Relationship Between Market and Model CDS Price Changed during the EMU Debt Crisis?
Buzková, Petra
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Institut ekonomických studií, Univerzita Karlova v Praze
-
2014
price. In the first part of the article we use adopted
reduced
form
CDS valuation model to obtain model CDS price which is …
Persistent link: https://www.econbiz.de/10011078536
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