The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets
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DOI: 10.1016/j.ribaf.2018.12.013
Abstract: Abstract This paper examines whether the intertemporal tradeoffs between risk and return explain mean reversion in sovereign CDS spreads. I test how mean reversion prevents the explosiveness of CDS spreads in Europe. The relationship between… read more here.
Keywords: reversion sovereign; finance; sovereign cds; risk return ... See more keywords