| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481504 | Physica A: Statistical Mechanics and its Applications | 2012 | 12 Pages |
Abstract
⺠This paper investigates the dynamics of CDS spread. ⺠This paper finds auto-correlations of CDS series by method of DCCA. ⺠This paper employs the STAR model to describe the regime switching behavior of CDS. ⺠Regimes of credit crisis with high-price CDS are empirically documented. ⺠The threshold estimates serve as key indicators in differentiating the regimes.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Alex YiHou Huang, Wen-Cheng Hu,