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The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift
Liu, Xianghua; Xiao, Xueping - In: International journal of services technology and management 20 (2014) 1/2/3, pp. 71-84
Persistent link: https://www.econbiz.de/10010505392
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Mutual excitation in Eurozone sovereign CDS
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - In: Journal of econometrics 183 (2014) 2, pp. 151-167
Persistent link: https://www.econbiz.de/10010506073
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The determinants of CDS spreads
Galil, Koresh; Shapir, Offer Moshe; Amiram, Dan; … - In: Journal of banking & finance 41 (2014), pp. 271-282
Persistent link: https://www.econbiz.de/10010408463
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Risks of Latin America sovereign debts before and after the financial crisis
Wang, Alan T.; Yao, Chengxue - In: Applied economics 46 (2014) 13/15, pp. 1665-1676
Persistent link: https://www.econbiz.de/10010412883
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Are credit default swaps a sideshow? : evidence that information flows from equity to CDS markets
Hilscher, Jens; Pollet, Joshua M.; Wilson, Mungo - 2011
Persistent link: https://www.econbiz.de/10009782290
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The time varying properties of credit and liquidity components of CDS spreads
Coro, Filippo; Dufour, Alfonso; Varotto, Simone - 2012
Persistent link: https://www.econbiz.de/10009520563
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Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.; Crépey, S.; Jeanblanc, Monique; … - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
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Endogenous trading in credit default swaps
Chesney, Marc; Coculescu, Delia; Gökay, Selim - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10011451640
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The possible breakup of the Euro zone : examining the differences between credit default swap fees nominated in Euro and US-dollar during the Euro-area crisis
Doluca, Hasan - In: Journal of economic research 20 (2015) 3, pp. 341-369
Persistent link: https://www.econbiz.de/10011407731
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The CDS and the government bonds markets during the last financial crisis
Križanič, France; Oplotnik, Žan - In: Zagreb international review of economics & business 18 (2015) 2, pp. 21-30
Persistent link: https://www.econbiz.de/10011412248