Price discovery in the markets for credit risk: a Markov switching approach

DOI10.1515/snde-2015-0032OpenAlexW2204244213MaRDI QIDQ2691657

Franziska J. Peter, Thomas Dimpfl

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2015-0032

zbMATH Keywords

Markov switchingcredit default swapprice discoverycorporate bondunique information share

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Credit risk (91G40)

Cites Work

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• Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
• Structural vector autoregressions with Markov switching
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Structural Vector Autoregressions With Nonnormal Residuals
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Using transfer entropy to measure information flows between financial markets

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