Persistence of volatility of sovereign credit risk in presence of structural breaks
Geoffrey Ngene; Hannah Carley; Mohammad Kabir Hassan
| 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 | Volatilität | Volatility | Kreditderivat | Credit derivative | Strukturbruch | Structural break | Kreditrisiko | Credit risk | Öffentliche Anleihe | Public bond | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Länderrisiko | Country risk | ARCH-Modell | ARCH model | Welt | World |
| 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/10010463011