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Mutual Excitation in Eurozone Sovereign CDS
(2014-05-01)
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features ...
IFO
"The ifo Institute provides the material with which it strives to shape the discourse on relevant topics in academia and in the public eye - hence our claim ""Shaping the Economic Debate"""
CMA
Credit Market Analysis (CMA) is a data and information company specializing in OTC derivatives markets. In July 2012, the company became part of the S&P Capital IQ division of McGraw-Hill
BLS
The Bureau of Labor Statistics measures labor market activity, working conditions, price changes, and productivity in the U.S. economy to support public and private decision making.