The leverage effect puzzle: the case of European sovereign credit default swap market

DOI10.1007/s11147-016-9121-3zbMath1349.62529OpenAlexW2308610753WikidataQ59473668 ScholiaQ59473668MaRDI QIDQ345723

Agata Kliber

Publication date: 2 December 2016

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-016-9121-3

zbMATH Keywords

stochastic volatilityemerging marketsleverage effectcredit default swap

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Uses Software

• BUGS

Cites Work

• Unnamed Item
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