An empirical analysis of dynamic dependences in the European corporate credit markets : bonds versus credit derivatives
Sergio Mayordomo and Juan Ignacio Peña
| Year of publication: |
2014
|
|---|---|
| Authors: | Mayordomo, Sergio ; Peña Sánchez de Rivera, Juan Ignacio |
| Published in: |
Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 24.2014, 7/9, p. 605-619
|
| Subject: | credit spreads | market dynamic dependence | DCC-GARCH | Kreditrisiko | Credit risk | Derivat | Derivative | Zinsstruktur | Yield curve | Kreditmarkt | Credit market | Theorie | Theory | Risikoprämie | Risk premium | Anleihe | Bond | EU-Staaten | EU countries | Kreditderivat | Credit derivative | Unternehmensanleihe | Corporate bond |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010402682