Browsing BI Open by Journals "Studies in Nonlinear Dynamics & Econometrics"
Now showing items 1-1 of 1
-
Modeling Corporate CDS Spreads Using Markov Switching Regressions
(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 ...