Price discovery in the markets for credit risk: A Markov switching approach
Year of publication: |
2015
|
---|---|
Authors: | Dimpfl, Thomas Ernst Herbert ; Peter, Franziska Julia |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Markov switching model | price discovery | credit risk | CDS |
Series: | SFB 649 Discussion Paper ; 2015-035 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 831851473 [GVK] hdl:10419/122015 [Handle] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; G15 - International Financial Markets |
Source: |
-
Price discovery in the markets for credit risk : a Markov switching approach
Dimpfl, Thomas, (2015)
-
Using transfer entropy to measure information flows between financial markets
Dimpfl, Thomas, (2012)
-
Using transfer entropy to measure information flows between financial markets
Dimpfl, Thomas, (2012)
- More ...
-
Price discovery in the markets for credit risk : a Markov switching approach
Dimpfl, Thomas, (2016)
-
The impact of the financial crisis on transatlantic information flows : an intraday analysis
Dimpfl, Thomas, (2014)
-
Price discovery in the markets for credit risk : a Markov switching approach
Dimpfl, Thomas, (2015)
- More ...