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Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis
Computational Economics
◽
10.1007/s10614-021-10185-8
◽
2021
◽
Author(s):
Peter Sinka
◽
Peter J. Zeitsch
Keyword(s):
Network Topology
◽
Spectral Decomposition
◽
Credit Default Swap
◽
Topology Analysis
◽
Credit Default
◽
Default Swap
Download Full-text
Related Documents
Cited By
References
Dynamic credit default swap curves in a network topology
Quantitative Finance
◽
10.1080/14697688.2019.1585560
◽
2019
◽
Vol 19
(10)
◽
pp. 1705-1726
◽
Cited By ~ 3
Author(s):
Xiu Xu
◽
Cathy Yi-Hsuan Chen
◽
Wolfgang Karl Härdle
Keyword(s):
Network Topology
◽
Credit Default Swap
◽
Credit Default
◽
Default Swap
Download Full-text
A Spectral Decomposition of the Credit Default Swap Indices
SSRN Electronic Journal
◽
10.2139/ssrn.3419188
◽
2019
◽
Author(s):
Peter Sinka
◽
Peter Zeitsch
Keyword(s):
Spectral Decomposition
◽
Credit Default Swap
◽
Credit Default
◽
Default Swap
Download Full-text
Le marché des Credit Default Swap (CDS)
Économie & prévision
◽
10.3406/ecop.2009.7931
◽
2009
◽
Vol 189
(3)
◽
pp. 133-140
Author(s):
Antoine Bouveret
Keyword(s):
Credit Default Swap
◽
Credit Default
◽
Default Swap
Download Full-text
Study of correlation impact on credit default swap margin using a GARCH–DCC-copula framework
The Journal of Financial Market Infrastructures
◽
10.21314/jfmi.2018.113
◽
2019
◽
Author(s):
David Li
◽
Roy M. Cheruvelil
Keyword(s):
Credit Default Swap
◽
Credit Default
◽
Default Swap
Download Full-text
The signalling properties of the shape of the credit default swap term structure
The Journal of Risk
◽
10.21314/jor.2015.298
◽
2015
◽
Vol 17
(4)
◽
pp. 71-99
◽
Cited By ~ 1
Author(s):
Jenny Castellanos
◽
Nick Constantinou
◽
Wing Lon Ng
Keyword(s):
Term Structure
◽
Credit Default Swap
◽
Credit Default
◽
Default Swap
Download Full-text
Credit default swap spreads, fair-value spreads and interest rate dynamics
The Journal of Credit Risk
◽
10.21314/jcr.2012.154
◽
2012
◽
Vol 8
(4)
◽
pp. 53-129
◽
Cited By ~ 1
Author(s):
Andy Jia-Yuh Yeh
Keyword(s):
Interest Rate
◽
Credit Default Swap
◽
Fair Value
◽
Interest Rate Dynamics
◽
Credit Default
◽
Default Swap
◽
Swap Spreads
Download Full-text
The Credit Default Swap Market's Determinants
SSRN Electronic Journal
◽
10.2139/ssrn.1104887
◽
2008
◽
Author(s):
Caitlin Ann Greatrex
Keyword(s):
Credit Default Swap
◽
Credit Default
◽
Default Swap
Download Full-text
Intra-Daily Variations in Volatility and Transaction Costs in the Credit Default Swap Market
SSRN Electronic Journal
◽
10.2139/ssrn.1509323
◽
2009
◽
Cited By ~ 7
Author(s):
Andras Fulop
◽
Laurence Lescourret
Keyword(s):
Transaction Costs
◽
Credit Default Swap
◽
Daily Variations
◽
Credit Default
◽
Default Swap
Download Full-text
Empirical Tests on the Credit Default Swap and Stock Markets During the Global Credit Crisis
SSRN Electronic Journal
◽
10.2139/ssrn.1734712
◽
2010
◽
Author(s):
Kam Fong Chan
◽
Alastair D.E. Marsden
Keyword(s):
Stock Markets
◽
Credit Default Swap
◽
Credit Crisis
◽
Credit Default
◽
Default Swap
◽
Empirical Tests
Download Full-text
The Impact of Credit Rating Announcements on Corporates' Credit Default Swap Spreads - Are There Intra-Industry Effects Observable?
SSRN Electronic Journal
◽
10.2139/ssrn.2084916
◽
2012
◽
Author(s):
Hans-Peter Burghof
◽
Philipp Johannes Schneider
◽
Andreas Wengner
Keyword(s):
Credit Rating
◽
Credit Default Swap
◽
Industry Effects
◽
Credit Default
◽
Default Swap
◽
The Impact
◽
Swap Spreads
Download Full-text
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