International Credit Default Swaps Market During European Crisis: A Markov Switching Approach-Reference-Cited by-同舟云学术

International Credit Default Swaps Market During European Crisis: A Markov Switching Approach

Published:2017 Issue: Volume: Page:431-443
ISSN:1431-1933
Container-title:Contributions to Economics
language:
Short-container-title:

Author:

Koy Ayben

Publisher

Springer International Publishing

Link

http://link.springer.com/content/pdf/10.1007/978-3-319-47021-4_30

Reference25 articles.

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3. Calice G, Mio R, Štěrba F, Vašíček B (2015) Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for European credit default swaps. J Empir Financ 33:174–189

4. Caporin M (2013) Equity and CDS sector indices: dynamic models and risk hedging. N Am J Econ Financ 25:261–275

5. Chan KC, Marsden A (2014) Macro risk factors of credit default swap indices in a regime-switching framework. J Int Financ Mark Inst Money 29(C):285–308

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