Cointegration test with stationary covariates and the CDS-bond basis during the financial crisis
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- Jan De Wit, 2006. "Exploring the CDS-Bond Basis," Working Paper Research 104, National Bank of Belgium.
- Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002. "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series rp65, International Center for Financial Asset Management and Engineering.
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More about this item
Keywords
Swaps (Finance); Corporate bonds; Econometric models;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2011-04-30 (Banking)
- NEP-ECM-2011-04-30 (Econometrics)
- NEP-ETS-2011-04-30 (Econometric Time Series)
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