Macro risk factors of credit default swap indices in a regime-switching framework
Kam Fong Chan; Alastair Marsden
| Year of publication: |
2014
|
|---|---|
| Authors: | Kam Fong Chan ; Marsden, Alastair |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 29.2014, p. 285-308
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| Subject: | Credit default swap indices | Investment-grade | High-yield | Regime-switching | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Welt | World | Risiko | Risk | Markov-Kette | Markov chain | Swap | Risikoprämie | Risk premium | Wirtschaftsindikator | Economic indicator | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010412144