Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s10614-021-10185-8.pdf
Reference74 articles.
1. Alexander, C., & Barbosa, A. (2007). Effectiveness of minimum variance hedging. Journal of Portfolio Management, 33, 46–59. https://doi.org/10.3905/jpm.2007.674793
2. Ashcraft, A. B., & Santos, J. A. C. (2009). Has the CDS market lowered the cost of corporate debt. Journal of Monetary Economics, 56, 514–523. https://doi.org/10.1016/j.jmoneco.2009.03.008
3. Aste, T., Di Matteo, T., & Hyde, S. T. (2005). Complex networks on hyperbolic surfaces. Physica A: Statistical Mechanics and Its Applications, 346, 20–26. https://doi.org/10.1016/j.physa.2004.08.045
4. Barone-Adesi, G., Carcano, N., & Dall’O, H. (2012). Managing the risk of corporate bond portfolios. Swiss Finance Institute, Research paper No. 12–04 https://doi.org/10.2139/ssrn.2002040
5. Barone-Adesi, G., & Carcano, N. (2016). Modern multi-factor analysis of bond portfolios: Critical implications for hedging and investing. Springer.
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