The Value of the Sovereign Credit Default Market: Domestic Stock Market Interaction and Contagion Effects during Credit Crisis
Credit Default Swaps have become a large part of financial markets and recently the center of debate between academics and regulators alike. Transferring the techniques to measure information flow between the CDS market and stock markets presented by Acharya and Johnson (2007), this paper looks at...
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Scholarship @ Claremont
2010
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| Online Access: | http://scholarship.claremont.edu/cmc_theses/75 http://scholarship.claremont.edu/cgi/viewcontent.cgi?article=1077&context=cmc_theses |