Explaining credit default swap spreads with equity volatility and jump risks of individual firms
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More about this item
Keywordsstructural model; stochastic volatility; jumps; credit spread; credit default swap; nonlinear effect; high frequency data;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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