Browsing BI Open by Author "Bulfone, Giacomo"
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Modeling Corporate CDS Spreads Using Markov Switching Regressions
Baltodano López, Ovielt; Bulfone, Giacomo; Casarin, Roberto; Ravazzolo, Francesco (Journal article; Peer reviewed, 2023)This paper investigates the determinants of the European iTraxx corporate CDS index considering a large set of explanatory variables within a Markov switching model framework. The influence of financial and economic variables ...