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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Published in: | MAGKS - Joint Discussion Paper Series in Economics (Band 39-2011) |
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Main Authors: | , , |
Format: | Work |
Language: | English |
Published: |
2011
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Subjects: | |
Online Access: | PDF Full Text |
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