Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads
Saad Badaoui, Lara Cathcart and Lina El-Jahel
| Year of publication: |
August-September 2016
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| Authors: | Badaoui, Saad ; Cathcart, Lara ; Jahel, Lina el |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 22.2016, 10/12, p. 825-853
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| Subject: | term structure of sovereign credit default swaps | maximum likelihood | Kalman filter | riskneutral measure and liquidity risk | Kreditderivat | Credit derivative | Zinsstruktur | Yield curve | Öffentliche Anleihe | Public bond | Risikoprämie | Risk premium | Kreditrisiko | Credit risk | Liquidität | Liquidity | Zustandsraummodell | State space model |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2014.996297 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011715207