Alessandra Tosi

Bocconi University

Via Sarfatti, 25

Milan, MI 20136

Italy

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Scholarly Papers (1)

1.

Time‐Varying Price Discovery in Sovereign Credit Markets

BAFFI CAREFIN Centre Research Paper No. 2019-120
Number of pages: 24 Posted: 30 Oct 2019
Massimo Guidolin, Manuela Pedio and Alessandra Tosi
Bocconi University - Department of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Bocconi University
Downloads 21 (535,920)

Abstract:

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Treasury bond spreads, credit default swaps, sovereign credit risk, vector error correction models, price discovery