Leo Evans

Imperial College London, Business School

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

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Scholarly Papers (1)

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Excess comovement in credit default swap markets: Evidence from the CDX indices

Journal of Financial Markets, 43, 96-120.DOI:10.1016/j.finmar.2018.10.002., The University of Auckland Business School Research Paper Series
Posted: 31 Jan 2022
Imperial College Business School, University of Auckland Business School, Imperial College London, Business School and Yining Shi

Abstract:

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Credit default swaps, Excess comovement, CDX indices, Credit ratings