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Exploring Mispricing in the Term Structure of CDS Spreads* - MaRDI portal

Exploring Mispricing in the Term Structure of CDS Spreads* (Q3120250)

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Exploring Mispricing in the Term Structure of CDS Spreads*
scientific article

    Statements

    title
    Exploring Mispricing in the Term Structure of CDS Spreads* (English)
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    author
    Xiaoxia Ye
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    May Hu
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    Robert A. Jarrow
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    Hai-Tao Li
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    publication date
    1 March 2019
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    zbMATH Keywords
    credit default swaps
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    mispricing
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    statistical arbitrage
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    affine models
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    market-neutral strategy
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    hedge funds
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G40
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    62P05
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    zbMATH DE Number
    7031630
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    OpenAlex ID
    W3124819529
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    DOI
    10.1093/ROF/RFY014
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