The asymmetric effect of equity volatility on credit default swap spreads
Hwang Hee Lee, Jung-Soon Hyun
| Year of publication: |
2019
|
|---|---|
| Authors: | Lee, Hwang Hee ; Hyun, Jung-Soon |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 98.2019, p. 125-136
|
| Subject: | Credit default swap spread | Realized semivariance | Signed jump | Volatility | Volatilität | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Derivat | Derivative | Risikoprämie | Risk premium | Swap | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2018.11.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012162246