Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective
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- Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A., 2016. "Pricing Sovereign Contingent Convertible Debt," Working Papers 16-05, University of Pennsylvania, Wharton School, Weiss Center.
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More about this item
KeywordsCredit default swaps; Markov switching model; Financial crisis; Bayesian hierarchical modeling; 60J05; 62F15; 62M05; 62P05;
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