The sensitivity of credit default swap premium to global risk factor: evidence from emerging markets

DOI10.1016/J.ECONLET.2017.07.020zbMath1398.62285OpenAlexW2738668039MaRDI QIDQ1782393

Oguzhan Cepni, M. Hasan Yilmaz, Doruk Kucuksarac

Publication date: 20 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.07.020

zbMATH Keywords

CDSemerging marketfixed effect panel regressionglobal risk appetite

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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