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Inflation and the real price of equities: Theory with some empirical evidence

✍ Scribed by Marcelo Bianconi

Book ID
113248357
Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
994 KB
Volume
17
Category
Article
ISSN
0164-0704

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## Abstract We investigate the common practice of estimating the dependence structure between credit default swap prices on multi‐name credit instruments from the dependence structure of the equity returns of the underlying firms. We find convincing evidence that the practice is inappropriate for h