Financial crises and information transfer: An empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices
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More about this item
KeywordsGranger-causality; iTraxx Indices; Credit Default Swaps; Day-of-the-Week-Effect; Feedback System;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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