Browsing NHH Brage by Author "Ding, Ruhui"

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Empirical Evidence of Lead-Lag Relation between the Norwegian CDS and Stock Markets : Using Vector Autoregression with Exogenous Variables (VARX) and Structured Regularization for Large Vector Autoregressions with Exogenous Variables (VARX-L) Framework

Ding, Ruhui (Master thesis, 2021)

The master thesis studies the lead-lag relation between the Norwegian CDS and stock markets with daily observations from June 24, 2010 to May 5, 2017 of three Norwegian firms, DNB Bank ASA, Telenor ASA, and Statoil ASA. I ...