CDS-bond basis dynamic and credit spread price discovery : a test for European corporate and sovereign bond markets
Michele Patanè, Mattia Tedesco, Stefano Zedda
| Year of publication: |
2019
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|---|---|
| Authors: | Patanè, Michele ; Tedesco, Mattia ; Zedda, Stefano |
| Published in: |
Modern economy. - Irvine, Calif. : Scientific Research Publishing, ISSN 2152-7245, ZDB-ID 2598760-4. - Vol. 10.2019, 8, p. 1984-2003
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| Subject: | CDS-Bond Basis | Credit Spread | Price Discovery | VAR | VECM | Kreditderivat | Credit derivative | Zinsstruktur | Yield curve | Börsenkurs | Share price | Rentenmarkt | Bond market | Schätzung | Estimation | Kreditrisiko | Credit risk | Öffentliche Anleihe | Public bond | Risikoprämie | Risk premium | Unternehmensanleihe | Corporate bond | VAR-Modell | VAR model | Kointegration | Cointegration |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/me.2019.108126 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194209