The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis
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DOI: 10.1016/j.intfin.2011.07.001
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More about this item
Keywords
Credit default swap; Time-varying correlation; GARCH; Credit market integration;All these keywords.
JEL classification:
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- G1 - Financial Economics - - General Financial Markets
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