The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks? (Q2700555)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks? |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks? |
scientific article |
Statements
The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks? (English)
0 references
27 April 2023
0 references
CDS
0 references
Markov-switching model
0 references
sovereign bonds
0 references
VECM
0 references
volatility
0 references
0 references
0 references
0 references
