The integration of the credit default swap markets during the US subprime crisis : dynamic correlation analysis
Ping Wang; Tomoe Moore
| Year of publication: |
2012
|
|---|---|
| Authors: | Wang, Ping ; Moore, Tomoe |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 22.2012, 1, p. 1-15
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| Subject: | Credit default swap | Time-varying correlation | GARCH | Credit market integration | Kreditderivat | Credit derivative | Korrelation | Correlation | USA | United States | Finanzkrise | Financial crisis | ARCH-Modell | ARCH model | Marktintegration | Market integration | Kreditrisiko | Credit risk | Subprime-Krise | Subprime financial crisis | Kreditmarkt | Credit market |
| 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/10009540854