The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks? (Q2700555)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks? |
scientific article |
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The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks? (English)
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27 April 2023
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CDS
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Markov-switching model
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sovereign bonds
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VECM
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volatility
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