We thank an anonymous referee and the editor, Bob Webb, for their helpful comments. We are also grateful for suggestions by Professor Mo Chaudhury and conference participants at the 17th Annual Conference on PBFEAM and the 3rd International Conference on Business in Asia, for financial support from the National Science Council in Taiwan and for research assistance from Sheng-Wen Wang. All errors are ours.
Economic determinants of default risks and their impacts on credit derivative pricing†
Version of Record online: 16 FEB 2010
© 2010 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 30, Issue 11, pages 1058–1081, November 2010
How to Cite
Liao, S.-L. and Chang, J.-J. (2010), Economic determinants of default risks and their impacts on credit derivative pricing. J. Fut. Mark., 30: 1058–1081. doi: 10.1002/fut.20453
- Issue online: 9 SEP 2010
- Version of Record online: 16 FEB 2010
- Manuscript Accepted: DEC 2009
- Manuscript Received: MAR 2009
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