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Mutual excitation in eurozone sovereign CDS
Yacine Aït-Sahalia
, Roger J.A. Laeven
, Loriana Pelizzon
Economics
Bendheim Center for Finance
Center for Statistics & Machine Learning
Research output
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Article
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peer-review
70
Scopus citations
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Keyphrases
Mutual Excitation
100%
Sovereign CDS
100%
CDS Market
50%
Impulse Response Analysis
50%
Default Intensity
50%
Multivariate Setting
50%
Theoretical Price
50%
Engineering
Closed Form
100%
Impulse Response
100%
Salient Feature
100%