The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?
Leon Li and Frank Scrimgeour
| Year of publication: |
2022
|
|---|---|
| Authors: | Li, Leon ; Scrimgeour, Frank |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 26.2022, 3, p. 475-497
|
| Subject: | CDS | Markov-switching model | Sovereign bonds | VECM | volatility | Volatilität | Volatility | Kreditderivat | Credit derivative | Öffentliche Anleihe | Public bond | Kreditrisiko | Credit risk | Anleihe | Bond | Markov-Kette | Markov chain | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Schätzung | Estimation | Kapitaleinkommen | Capital income | Zinsstruktur | Yield curve | Theorie | Theory | Rentenmarkt | Bond market | Länderrisiko | Country risk |
Online Resource