The effect of liqudity on the price discovery process in credit derivatives markets in time of financial distress
Sergio Mayordomo, Juan Ignacio Peña and Juan Romo
| Year of publication: |
2011
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|---|---|
| Authors: | Mayordomo, Sergio ; Peña Sánchez de Rivera, Juan Ignacio ; Romo, Juan |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 17.2011, 9/10, p. 851-881
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| Subject: | price discovery | vector error correction model (VECM) | credit derivatives | credit spreads | Kointegration | Cointegration | Derivat | Derivative | Kreditrisiko | Credit risk | Börsenkurs | Share price | Kreditderivat | Credit derivative | Zinsstruktur | Yield curve | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009529136