Author:
Shi Yukun,Stasinakis Charalampos,Xu Yaofei,Yan Cheng
Funder
Zhejiang Province Natural Science Foundation
Subject
Economics and Econometrics,Finance
Reference43 articles.
1. Regime dependent determinants of credit default swap spreads;Alexander;Journal of Banking & Finance,2008
2. Systemic sovereign credit risk: Lessons from the US and Europe;Ang;Journal of Monetary Economics,2013
3. Exploring for the determinants of credit risk in credit default swap transaction data: Is fixed-income markets' information sufficient to evaluate credit risk?;Aunon-Nerin;FAME Research Paper,2002
4. The dynamics of the volatility skew: A Kalman filter approach;Bedendo;Journal of Banking & Finance,2009
5. Explaining credit default swap premia;Benkert;Journal of Futures Markets,2004
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Fundamentals, real-time uncertainty and CDS index spreads;Review of Quantitative Finance and Accounting;2023-04-12