Price discovery in the markets for credit risk: A Markov switching approach
Price discovery in the markets for credit risk: A Markov switching approach
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St. Louis: Federal Reserve Bank of St. Louis
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English
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St. Louis: Federal Reserve Bank of St. Louis
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We examine price discovery in the Credit Default Swap and cor- porate bond market. By using a Markov switching framework we are able to analyze the dynamic behavior of the information shares dur- ing tranquil and crisis periods. The results show that price discovery takes place mostly on the CDS market. The importance of the CDS market even increas...
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Price discovery in the markets for credit risk: A Markov switching approach
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TN_cdi_proquest_journals_1767736864
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1767736864
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https://www.proquest.com/docview/1767736864?pq-origsite=primo&accountid=13902
