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Keywords: Markov Switching
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (1): 41–64.
Published: 29 February 2012
... the theoretical determinants of structural credit risk models. CDS spreads may behave quite differently during volatile regime compared with their behavior in tranquil regime. We therefore apply Markov switching model to investigate the possibility that the influence of theoretical determinants of CDS spread has...
