Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective
DOI10.1007/S10100-013-0330-7zbMATH Open1339.91121OpenAlexW1976614693MaRDI QIDQ301208FDOQ301208
Authors: Rosella Castellano, Luisa Scaccia 
Publication date: 30 June 2016
Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10100-013-0330-7
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Cites Work
- Markov chains for exploring posterior distributions. (With discussion)
- Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
- Title not available (Why is that?)
- Bayesian computation and stochastic systems. With comments and reply.
- Title not available (Why is that?)
- Bayesian Methods for Hidden Markov Models
- Bayesian estimation of hidden Markov chains: A stochastic implementation
- Credit default swaps: implied ratings versus official ones
- A Markov switching re-evaluation of event-study methodology
Cited In (6)
- Multi-feature evaluation of financial contagion
- The state of financial modelling in 2012, as shaped by the GFC
- Empirical analysis of structural change in credit default swap volatility
- A Markov switching re-evaluation of event-study methodology
- Pricing sovereign contingent convertible debt
- CDS volatility: the key signal of credit quality
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