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pro vyhledávání: '"Leo Evans"'
We provide evidence of excess comovement in the credit default swap (CDS) market following inclusions to and exclusions from investment grade and high yield CDX indices during the 2003–2016 period. We find that when a name joins an index, its retur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b7d2f4713410c44c4947654082bc0199
http://hdl.handle.net/10044/1/65310
http://hdl.handle.net/10044/1/65310
Publikováno v:
SSRN Electronic Journal.
Using an extensive data set of credit default swap spreads on U.S. based firms, we investigate the correlation structure of the CDS market. For comparative purposes, we also examine the correlation structure of the equity returns of these firms. Our
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5b2af00b9aa3587d1fcb764e52be39b4
https://doi.org/10.2139/ssrn.1571485
https://doi.org/10.2139/ssrn.1571485
