An analysis of price discovery from panel data models of CDS and equity returns

journal contribution

posted on 2014-01-01, 00:00 authored by Paresh Narayan, Susan SharmaSusan Sharma, Kannan ThuraisamyKannan Thuraisamy

An analysis of price discovery from panel data models of CDS and equity returns

History

Journal

Journal of Banking and Finance

Volume

41

Pagination

167 - 177

Publisher

Elsevier BV

Location

Amsterdam, Netherlands

Publisher DOI

https://doi.org/10.1016/j.jbankfin.2014.01.008

ISSN

0378-4266

eISSN

1872-6372

Language

eng

Publication classification

C1 Refereed article in a scholarly journal; C Journal article

Copyright notice

2014, Elsevier

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Keywords

Price discovery Sizes Sectors Panel data CDS spread Social Sciences Business, Finance Economics Business & Economics CREDIT DEFAULT SWAP ERROR-CORRECTION MARKETS COINTEGRATION DEBT

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All Rights Reserved

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