Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps
Giovanni Calice, RongHui Mio, Filip Štěrba, Bořek Vašíček
| Year of publication: |
September 2015
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| Authors: | Calice, Giovanni ; Mio, RongHui ; Štěrba, Filip ; Vašíček, Bořek |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 33.2015, p. 174-189
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| Subject: | Credit default swaps | Markov switching model | Sovereign risk | State space model | Term premium | Kreditderivat | Credit derivative | Länderrisiko | Country risk | Risikoprämie | Risk premium | Markov-Kette | Markov chain | Kreditrisiko | Credit risk | EU-Staaten | EU countries | Zustandsraummodell | Swap | Zinsstruktur | Yield curve | Öffentliche Anleihe | Public bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2015.03.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011556866