Empirical analysis of structural change in credit default swap volatility

DOI10.1016/j.chaos.2014.01.002zbMath1348.91279OpenAlexW2069345514MaRDI QIDQ336123

Sean S. Jung, Kyung Won Kim

Publication date: 10 November 2016

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2014.01.002

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Disturbances and complexity in volatility time series

Uses Software

• longmemo

Cites Work

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