The determinants of CDS spreads : evidence from the model space
Matthias Pelster, Johannes Vilsmeier
| Year of publication: |
2018
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|---|---|
| Authors: | Pelster, Matthias ; Vilsmeier, Johannes |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 21.2018, 1, p. 63-118
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| Subject: | Bayesian model averaging | CDS | Crash aversion | Tail dependence | Tail risk | Time-varying copulas | Kreditderivat | Credit derivative | Multivariate Verteilung | Multivariate distribution | Bayes-Statistik | Bayesian inference | Kreditrisiko | Credit risk | Finanzkrise | Financial crisis | Statistische Verteilung | Statistical distribution | Theorie | Theory | Schätzung | Estimation | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-017-9134-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012055732