Asymmetric and nonlinear comovements of credit default swap and bond markets : evidence from an emerging market
Semra Bank, Zehra Abdioğlu and Elif Kahraman
| Year of publication: |
2024
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| Authors: | Bank, Semra ; Abdioğlu, Zehra ; Kahraman, Elif |
| Published in: |
Spanish journal of finance & accounting : the official journal of AECA - Asociación Española de Contabilidad y Administración de Empresas. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 2332-0753, ZDB-ID 2567008-6. - Vol. 53.2024, 2, p. 232-253
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| Subject: | Credit Default Swaps | emerging markets | nonlinearity | price discovery | sovereign bonds | structural breaks | Schwellenländer | Emerging economies | Kreditderivat | Credit derivative | Öffentliche Anleihe | Public bond | Rentenmarkt | Bond market | Schätzung | Estimation | Strukturbruch | Structural break | Kointegration | Cointegration |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/02102412.2023.2218182 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014564193