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Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis

Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis

Hui, Cho-Hoi; Lo, Chi-Fai; Lau, Chun-Sing
  • 期刊名称Journal of Banking & Finance
  • 作者Hui, Cho-Hoi; Lo, Chi-Fai; Lau, Chun-Sing
  • 卷第37卷
  • 期第9期
  • 印刷ISSN0378-4266
  • 文件大小1210.90KB
  • 发表时间2013-09
  • DOI10.1016/j.jbankfin.2013.05.030
  • 页码3694-3703
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