Anticipating Credit Events Using Credit Default Swaps, with An Application to Sovereign Debt Crises
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References listed on IDEAS
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- Nurbanu Bursa & Hüseyin Tatlýdil, 2015. "Investigation of Credit Default Swaps using Detrended Fluctuation Analysis which is an Econophysical Technique," Eurasian Eononometrics, Statistics and Emprical Economics Journal, Eurasian Academy Of Sciences, vol. 2(2), pages 25-33, October.
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More about this item
KeywordsFinancial crisis; International financial markets; Sovereign risk; Credit default swaps; maximum recovery rate; default probability; bond; probability; probabilities; credit derivatives; correlation; Financial Economics: General; Credit defaults swaps;
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