Hedge effectiveness of the credit default swap indices : a spectral decomposition and network topology analysis
Peter Sinka, Peter J. Zeitsch
| Year of publication: |
2022
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|---|---|
| Authors: | Sinka, Peter ; Zeitsch, Peter J. |
| Subject: | Principal component analysis | CDX | Credit default swap index | Hedge effectiveness | Hierarchically nested factor model | iTraxx | Network topology | Spectral decomposition | Kreditderivat | Credit derivative | Hedging | Theorie | Theory | Kreditrisiko | Credit risk | Dekompositionsverfahren | Decomposition method | Hauptkomponentenanalyse |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10185-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013447437