TY  - RPRT
AU  - Jaskowski, Marcin
AU  - McAleer, Michael
PY  - 2018
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17438
AB  - In order to understand the lingering credit risk puzzle and the apparent segmentation of the stock market from credit markets, we need to be able to assess the strength of the cross-sectional dependence in credit spreads. This turns out to be a...
LA  - eng
KW  - Credit spread puzzle
KW  - Market segmentation
KW  - Latent factors
KW  - Spurious cross-sectional dependence.
TI  - Spurious Cross-Sectional Dependence in Credit Spread Changes
TY  - technical report
VL  - 2018
ER  -