dc.contributor.author | Baltodano López, Ovielt | |
dc.contributor.author | Bulfone, Giacomo | |
dc.contributor.author | Casarin, Roberto | |
dc.contributor.author | Ravazzolo, Francesco | |
dc.date.accessioned | 2024-04-18T08:55:55Z | |
dc.date.available | 2024-04-18T08:55:55Z | |
dc.date.created | 2024-01-03T09:45:36Z | |
dc.date.issued | 2023 | |
dc.identifier.citation | Studies in Nonlinear Dynamics & Econometrics. 2023, . | en_US |
dc.identifier.issn | 1081-1826 | |
dc.identifier.uri | https://hdl.handle.net/11250/3127164 | |
dc.description.abstract | 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 on CDS spreads are compared using linear, two, three, and four-regime models in a sample post-subprime financial crisis up to the COVID-19 pandemic. Results indicate that four regimes are necessary to model the CDS spreads. The fourth regime was activated during the COVID-19 pandemic and in high volatility periods. Further, the effect of the covariates differs significantly across regimes. Brent and term structure factors became relevant after the outbreak of the COVID-19 pandemic. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | De Gruyters | en_US |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.title | Modeling Corporate CDS Spreads Using Markov Switching Regressions | en_US |
dc.title.alternative | Modeling Corporate CDS Spreads Using Markov Switching Regressions | en_US |
dc.type | Journal article | en_US |
dc.type | Peer reviewed | en_US |
dc.description.version | publishedVersion | en_US |
dc.source.pagenumber | 22 | en_US |
dc.source.journal | Studies in Nonlinear Dynamics & Econometrics | en_US |
dc.identifier.doi | 10.1515/snde-2022-0106 | |
dc.identifier.cristin | 2219575 | |
cristin.ispublished | true | |
cristin.fulltext | preprint | |
cristin.qualitycode | 1 | |