Spurious Cross-Sectional Dependence in Credit Spread Changes
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Other versions of this item:
- Marcin Jaskowski & Michael McAleer, 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE 2018-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
References listed on IDEAS
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More about this item
KeywordsCredit spread puzzle; Market segmentation; Latent factors; Spurious cross-sectional dependence;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2018-09-24 (Financial Markets)
- NEP-MAC-2018-09-24 (Macroeconomics)
- NEP-ORE-2018-09-24 (Operations Research)
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