Persistence of volatility of sovereign credit risk in presence of structural breaks
Year of publication: |
2014
|
---|---|
Authors: | Ngene, Geoffrey ; Carley, Hannah ; Hassan, Mohammad Kabir |
Published in: |
Journal of derivatives & hedge funds. - Basingstoke : Palgrave Macmillian, ISSN 1753-9641, ZDB-ID 2408771-3. - Vol. 20.2014, 1, p. 10-27
|
Subject: | credit default swap | bond spread | sovereign | volatility | structural breaks | persistence | EGARCH | Strukturbruch | Structural break | Volatilität | Volatility | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Öffentliche Anleihe | Public bond | Schätzung | Estimation | Länderrisiko | Country risk | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Öffentliche Schulden | Public debt |
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