Component Structure of Credit Default Swap Spreads and Their Determinants-Reference-Cited by-同舟云学术

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Component Structure of Credit Default Swap Spreads and Their Determinants

Published:2008 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bhar Ramaprasad,Colwell David B.,Wang Peipei

Publisher

Elsevier BV

Reference40 articles.

1. The impact of stock returns volatility on credit default swap rates: a copula study;F Abid;International Journal of Theoretical & Applied Finance,2005

2. Credit-default swap rates and equity volatility: a nonlinear relationship;F Abid;The Journal of Risk Finance,2006

3. The determinants of credit default swap rates: an explanatory study;F Abid;International Journal of Theoretical & Applied Finance,2006

4. Nonparametric pricing of interest rate derivative securities;Y Ait-Sahalia;Econometrica,1996

5. Testing Continuous-time Models of the Spot Interest Rate. The Review of Financial Studies (1986-1998);Y Ait-Sahalia;Summer,1996

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