Trading strategies with implied forward credit default swap spreads
Arturo Leccadito, Radu S. Tunaru, Giovanni Urga
| Year of publication: |
September 2015
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|---|---|
| Authors: | Leccadito, Arturo ; Tunaru, Radu ; Urga, Giovanni |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 58.2015, p. 361-375
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| Subject: | Statistical arbitrage | Forward credit spreads | Convexity adjustment | Forward rate unbiasedness hypothesis | Panel data | Kreditderivat | Credit derivative | Zinsstruktur | Yield curve | Derivat | Derivative | Theorie | Theory | Kreditrisiko | Credit risk | Arbitrage | Risikoprämie | Risk premium | Zinsderivat | Interest rate derivative | Währungsderivat | Currency derivative | Panel | Panel study |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.04.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011544021