The dynamics of sovereign yields over swap rates in the Eurozone market
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DOI: 10.1016/j.irfa.2020.101578
Abstract: We explore the dynamics of the adjusted swap spread (calculated as the difference between the swap rate and sovereign yields over the credit default swap premium) in the Eurozone market by studying three markets simultaneously:… read more here.
Keywords: swap; dynamics sovereign; eurozone market; swap rates ... See more keywords