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Scaling the Volatility of Credit Spreads: Evidence from the Australian Eurobonds
Scaling the Volatility of Credit Spreads: Evidence from the Australian Eurobonds
1999
Jonathan Batten
Clarence Ellis
William W. Hogan
Keywords:
Financial system
Credit default swap index
Volatility (finance)
Eurobond
Business
iTraxx
Finance
Yield spread
Scaling
Correction
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