Modeling corporate CDS spreads using Markov switching regressions
Ovielt Baltodano López, Giacomo Bulfone, Roberto Casarin and Francesco Ravazzolo
| Year of publication: |
2024
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|---|---|
| Authors: | Baltodano López, Ovielt ; Bulfone, Giacomo ; Casarin, Roberto ; Ravazzolo, Francesco |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 28.2024, 2, p. 271-292
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| Subject: | Bayesian econometrics | corporate CDS index | Markov switching | Markov-Kette | Markov chain | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Bayes-Statistik | Bayesian inference | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2022-0106 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014631928