Matches in SemOpenAlex for { <https://semopenalex.org/work/W2030659905> ?p ?o ?g. }
- W2030659905 endingPage "308" @default.
- W2030659905 startingPage "285" @default.
- W2030659905 abstract "Using the Markov regime-switching model, this paper examines factor loadings on macroeconomic, market sentiment and other variables that may explain North American investment-grade and high-yield credit default swap indices (CDX) over the period 2003–2011. In both crisis and tranquil market states, spreads are positively related to the market-wide default premium and VIX, and negatively related to changes in Treasury bond yields, the underlying stock index returns and the Fama–French's High-Minus-Low factor. The magnitude of the factor loadings is higher during crisis periods. The results suggest the need to consider regime dependent hedge ratios to manage credit risk exposure." @default.
- W2030659905 created "2016-06-24" @default.
- W2030659905 creator A5003129656 @default.
- W2030659905 creator A5025214796 @default.
- W2030659905 date "2014-03-01" @default.
- W2030659905 modified "2023-09-23" @default.
- W2030659905 title "Macro risk factors of credit default swap indices in a regime-switching framework" @default.
- W2030659905 cites W1594842258 @default.
- W2030659905 cites W1899865046 @default.
- W2030659905 cites W1989292978 @default.
- W2030659905 cites W1995949012 @default.
- W2030659905 cites W2004886530 @default.
- W2030659905 cites W2005432509 @default.
- W2030659905 cites W2015468614 @default.
- W2030659905 cites W2049103316 @default.
- W2030659905 cites W2054937089 @default.
- W2030659905 cites W2079816758 @default.
- W2030659905 cites W2097794804 @default.
- W2030659905 cites W2100935590 @default.
- W2030659905 cites W2105792744 @default.
- W2030659905 cites W2108855171 @default.
- W2030659905 cites W2113305199 @default.
- W2030659905 cites W2115367426 @default.
- W2030659905 cites W2128144505 @default.
- W2030659905 cites W2128475248 @default.
- W2030659905 cites W2134309204 @default.
- W2030659905 cites W2136120210 @default.
- W2030659905 cites W2141866327 @default.
- W2030659905 cites W2144031751 @default.
- W2030659905 cites W2151511230 @default.
- W2030659905 cites W2154136277 @default.
- W2030659905 cites W2161286290 @default.
- W2030659905 cites W2166215547 @default.
- W2030659905 cites W2169476066 @default.
- W2030659905 cites W2606985126 @default.
- W2030659905 cites W3023478198 @default.
- W2030659905 cites W3121609987 @default.
- W2030659905 cites W3122318214 @default.
- W2030659905 cites W3122403692 @default.
- W2030659905 cites W3122458556 @default.
- W2030659905 cites W3122762010 @default.
- W2030659905 cites W3123097597 @default.
- W2030659905 cites W3123300179 @default.
- W2030659905 cites W3124235709 @default.
- W2030659905 cites W3124742826 @default.
- W2030659905 cites W3125203185 @default.
- W2030659905 cites W3125346872 @default.
- W2030659905 cites W3125807918 @default.
- W2030659905 cites W3126120853 @default.
- W2030659905 cites W4241957989 @default.
- W2030659905 cites W4253293506 @default.
- W2030659905 cites W4376849348 @default.
- W2030659905 doi "https://doi.org/10.1016/j.intfin.2014.01.002" @default.
- W2030659905 hasPublicationYear "2014" @default.
- W2030659905 type Work @default.
- W2030659905 sameAs 2030659905 @default.
- W2030659905 citedByCount "35" @default.
- W2030659905 countsByYear W20306599052014 @default.
- W2030659905 countsByYear W20306599052015 @default.
- W2030659905 countsByYear W20306599052016 @default.
- W2030659905 countsByYear W20306599052017 @default.
- W2030659905 countsByYear W20306599052018 @default.
- W2030659905 countsByYear W20306599052019 @default.
- W2030659905 countsByYear W20306599052020 @default.
- W2030659905 countsByYear W20306599052021 @default.
- W2030659905 countsByYear W20306599052022 @default.
- W2030659905 countsByYear W20306599052023 @default.
- W2030659905 crossrefType "journal-article" @default.
- W2030659905 hasAuthorship W2030659905A5003129656 @default.
- W2030659905 hasAuthorship W2030659905A5025214796 @default.
- W2030659905 hasConcept C10138342 @default.
- W2030659905 hasConcept C106159729 @default.
- W2030659905 hasConcept C136764020 @default.
- W2030659905 hasConcept C149782125 @default.
- W2030659905 hasConcept C162118730 @default.
- W2030659905 hasConcept C162324750 @default.
- W2030659905 hasConcept C165029466 @default.
- W2030659905 hasConcept C166957645 @default.
- W2030659905 hasConcept C178350159 @default.
- W2030659905 hasConcept C24308983 @default.
- W2030659905 hasConcept C26457952 @default.
- W2030659905 hasConcept C2777382242 @default.
- W2030659905 hasConcept C2780889827 @default.
- W2030659905 hasConcept C30589699 @default.
- W2030659905 hasConcept C41008148 @default.
- W2030659905 hasConcept C556758197 @default.
- W2030659905 hasConcept C69738904 @default.
- W2030659905 hasConcept C89997419 @default.
- W2030659905 hasConcept C90992651 @default.
- W2030659905 hasConcept C95457728 @default.
- W2030659905 hasConceptScore W2030659905C10138342 @default.
- W2030659905 hasConceptScore W2030659905C106159729 @default.
- W2030659905 hasConceptScore W2030659905C136764020 @default.
- W2030659905 hasConceptScore W2030659905C149782125 @default.
- W2030659905 hasConceptScore W2030659905C162118730 @default.
- W2030659905 hasConceptScore W2030659905C162324750 @default.
- W2030659905 hasConceptScore W2030659905C165029466 @default.
- W2030659905 hasConceptScore W2030659905C166957645 @default.