Excess comovement in credit default swap markets : evidence from the CDX indices

Lara Cathcart, Lina El-Jahel, Leo Evans, Yining Shi

Year of publication:	2019
Authors:	Cathcart, Lara ; Jahel, Lina el ; Evans, Leo ; Shi, Yining
Published in:	Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 43.2019, p. 96-120
Subject:	CDX indices \| Credit default swaps \| Credit ratings \| Excess comovement \| Kreditderivat \| Credit derivative \| Kreditwürdigkeit \| Credit rating \| Schätzung \| Estimation \| Kreditrisiko \| Credit risk

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