We are grateful for the helpful comments and suggestions of Rodrigo Alfaro, Aaron Brown, Miguel Ferreira, Lidija Lovreta, Lars Norden, Eduardo Ortas, Pedro Santa-Clara, Oliver Woll, two anonymous referees, and seminar participants at the 2008 International Conference on Price, Liquidity, and Credit Risks at the University of Konstanz (Germany), 2011 FMA European Conference, and European Financial Management 2011 Conference. We thank Til Schuermann and Peter Tufano for featuring an extended abstract of this paper in the GARP Risk Review, 43 (2008). Financial support from FCT Fundação para a Ciência e Tecnologia under project PTDC/EGE-GES/119274/2010 is gratefully acknowledged.
The Empirical Determinants of Credit Default Swap Spreads: a Quantile Regression Approach
Article first published online: 25 AUG 2013
© 2013 John Wiley & Sons Ltd
European Financial Management
How to Cite
Pires, P., Pereira, J. P. and Martins, L. F. (2013), The Empirical Determinants of Credit Default Swap Spreads: a Quantile Regression Approach. European Financial Management. doi: 10.1111/j.1468-036X.2013.12029.x
- Article first published online: 25 AUG 2013
- Fundação para a Ciência e Tecnologia under PTDC/EGE-GES/119274/2010
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