Persistence of bank credit default swap spreads
Credit default swap (CDS) spreads measure the default risk of the reference entity and have been frequently used in recent empirical papers. To provide a rigorous econometrics foundation for empirical CDS analysis, this paper applies the augmented Dickey–Fuller, Phillips–Perron, Kwiatkowski–Phillips...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019
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| Online Access: | View Fulltext in Publisher |