期刊名称：Ovidius University Annals: Economic Sciences Series
电子版ISSN：2393-3127
出版年度：2010
卷号：10
期号：1
语种：English
出版社：Ovidius University Press
摘要：The catastrophe bonds have become an important asset class of the international financial market and the recent disasters that affected economies all over the world reinforced the need of reflection upon this risk transfer instrument. Within this context,this paper is an attempt of modelling the volatility of a catastrophe bond index,mainly the Swiss Re Total Return Index,through a GARCH approach.
