Modeling corporate CDS spreads using Markov switching regressions

DOI10.1515/SNDE-2022-0106MaRDI QIDQ6645238FDOQ6645238

Authors: Ovielt Baltodano López, Giacomo Bulfone, Roberto Casarin, Francesco Ravazzolo 

Publication date: 28 November 2024

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

zbMATH Keywords

Bayesian econometricsMarkov switchingcorporate CDS index

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• \(K\)-state switching models with time-varying transition distributions -- Does loan growth signal stronger effects of variables on inflation?
• THE DETERMINANTS OF CREDIT DEFAULT SWAP RATES: AN EXPLANATORY STUDY

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