Browsing Open Research by Author "Ignatieva, K"

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Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market

Da Fonseca, JC; Ignatieva, K; Ziveyi, J (Elsevier, 2016)

This paper studies the relationship between credit default swap (CDS) spreads for the Energy sector and oil futures dynamics. Using data on light sweet crude oil futures from 2004 to 2013, which contains a crisis period, ...