DOI10.1007/s10479-012-1244-9zbMath1269.91092MaRDI QIDQ2393344
Rosella Castellano, Rita L. D'Ecclesia
Publication date: 7 August 2013 Published in: Annals of Operations Research (Search for Journal in Brave) Full work available at URL: http://hdl.handle.net/11393/130614
zbMATH Keywords
event study; credit default swaps; exponential GARCH
Mathematics Subject Classification ID
91G40: Credit risk