Daily CDS pricing in emerging markets before and during the global financial crisis

In this paper, we study the determinants of daily spreads for emerging market sovereign credit default swaps (CDS) over the period April 2002–December 2011. Using GARCH models, we find, first, that daily CDS spreads for emerging market sovereigns are more related to global and regional risk premia t...

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Bibliographic Details
Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 39-2011)
Main Authors: Fender, Ingo, Hayo, Bernd, Neuenkirch, Matthias
Format: Work
Published: Philipps-Universität Marburg 2011
Online Access:PDF Full Text
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