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Hedging iTraxx credit default swap index trading on an intraday basis: an empirical study
The Journal of Investment Strategies
◽
10.21314/jois.2014.041
◽
2014
◽
Vol 3
(4)
◽
pp. 83-106
Author(s):
Cheng-Ran Du
◽
Tim Brunne
Keyword(s):
Empirical Study
◽
Credit Default Swap
◽
Credit Default
◽
Default Swap
Download Full-text
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References
An Empirical Study on the Hedging Effectiveness and Safe Haven of Credit Default Swap
Korean Journal of Financial Engineering
◽
10.35527/kfedoi.2014.13.2.004
◽
2014
◽
Vol 13
(2)
◽
pp. 69-86
Author(s):
윤병조
Keyword(s):
Empirical Study
◽
Credit Default Swap
◽
Safe Haven
◽
Hedging Effectiveness
◽
Credit Default
◽
Default Swap
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An Empirical Study on the Default Rate in the Term Structure of Korean Sovereign Credit Default Swap(CDS) Spread
The Journal of Eurasian Studies
◽
10.31203/aepa.2010.7.4.002
◽
2010
◽
Vol 7
(4)
◽
pp. 15-34
Author(s):
김영성
Keyword(s):
Empirical Study
◽
Term Structure
◽
Credit Default Swap
◽
Sovereign Credit
◽
Credit Default
◽
Default Rate
◽
Default Swap
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How Efficient are Credit Default Swap Markets? An Empirical Study of Capital Structure Arbitrage Based on Structural Pricing Models
SSRN Electronic Journal
◽
10.2139/ssrn.1099456
◽
2008
◽
Cited By ~ 2
Author(s):
Björn Imbierowicz
◽
Balazs Cserna
Keyword(s):
Empirical Study
◽
Capital Structure
◽
Credit Default Swap
◽
Pricing Models
◽
Credit Default
◽
Default Swap
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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
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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
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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
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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
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