Asymmetric and nonlinear dynamics in sovereign credit risk markets
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DOI: 10.1002/fut.21896
Abstract: We employ asymmetric and nonlinear error correction models to characterize the price discovery and volatility interactions between the sovereign CDS and bond spreads for 22 reference entities. We find asymmetric, nonlinear, and bidirectional short and… read more here.
Keywords: dynamics sovereign; markets asymmetric; credit risk; nonlinear dynamics ... See more keywords