Estimating Option-Implied Correlation between iTraxx Europe Financial and Corporate Sub-Indexes
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All Author(s) ListHUI Cho Hoi, LAU Chun Sing, LO Chi Fai
Journal nameHKIMR Working Paper
Year2012
Month6
Volume Number16
Issue Number2012
Place of PublicationChina, Hong Kong
Pages19
LanguagesEnglish-United Kingdom
Keywordscredit default swaps; spillover effect; european debt crisis

Last updated on 2018-18-01 at 20:00