Price discovery in the markets for credit risk: a Markov switching approach
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DOI: 10.1515/snde-2015-0032
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References listed on IDEAS
- Chen, Haiqiang & Choi, Paul Moon Sub & Hong, Yongmiao, 2013. "How smooth is price discovery? Evidence from cross-listed stock trading," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 668-699.
- Grammig, Joachim & Peter, Franziska J., 2013. "Telltale Tails: A New Approach to Estimating Unique Market Information Shares," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(2), pages 459-488, April.
- Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1008-1021, June.
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Cited by:
- Kuck, Konstantin & Schweikert, Karsten, 2023. "Price discovery in equity markets: A state-dependent analysis of spot and futures markets," Journal of Banking & Finance, Elsevier, vol. 149(C).
- Mustafa Demirel & Gazanfer Unal, 2020. "Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.
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More about this item
Keywords
corporate bond; credit default swap; Markov switching; price discovery; unique information share;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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