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~institution:"EconWPA"
~institution:"Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam"
~institution:"London School of Economics (LSE)"
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Empirical Analysis of Credit R...
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credit default swaps
4
Copulas
3
Correlation
3
copulas
3
credit risk
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market liquidity
3
regime switching
3
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2
capital structure
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Kole, Erik
4
Patton, Andrew J.
3
Gale, Douglas
2
Gottardi, Piero
2
Houweling, Patrick
2
Koedijk, Koedijk, C.G.
2
Verbeek, Marno
2
Vorst, Ton
2
van Dijk, Dick
2
Abul Naga, Ramses H.
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Albuquerque, Pedro H.
1
Braithwaite, Jo
1
Capocci, Daniel
1
Chen, Li
1
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Fan, Yanqin
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Filipovic, Damir
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Geoffard, Pierre-Yves
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Hillebrand, Eric
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Leippold, Markus
1
Malevergne, Y.
1
Markwat, Markwat, T.D.
1
Robinson, Peter M.
1
Sornette, D.
1
Taschini, Luca
1
Wang, Mei
1
Wu, Liuren
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International Monetary Fund (IMF)
415
National Bureau of Economic Research
138
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Ekonomiska forskningsinstitutet <Stockholm>
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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LSE Research Online Documents on Economics
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ERIM Report Series Research in Management
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RePEc
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Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates
Chen, Xiaohong
;
Fan, Yanqin
;
Patton, Andrew J.
-
London School of Economics (LSE)
-
2004
Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...
Persistent link: https://www.econbiz.de/10010746302
Saved in:
2
BAD Taxation: Disintermediation and
Illiquidity
in a Bank Account Debits Tax Model
Albuquerque, Pedro H.
-
EconWPA
-
2005
, market
illiquidity
, and impacts on dividend and interest rates are considered. Part of the BAD tax revenue may be fictitious …
Persistent link: https://www.econbiz.de/10005125874
Saved in:
3
Decomposition of bivariate inequality indices by attributes
Abul Naga, Ramses H.
;
Geoffard, Pierre-Yves
-
London School of Economics (LSE)
-
2006
We provide, for the class of relative bidimensional inequality indices, a decomposition of inequality into two univariate Atkinson-Kolm-Sen indices and a third statistic which depends on the joint distribution of resources.
Persistent link: https://www.econbiz.de/10010928684
Saved in:
4
Time Variation in Asset Return Dependence: Strength or Structure?
Kole, Erik
;
van Dijk, Dick
;
Markwat, Markwat, T.D.
-
Erasmus Research Institute of Management (ERIM), …
-
2009
different
copulas
with time variation. Our model shows both types of changes in the dependence between several equity market …
Persistent link: https://www.econbiz.de/10010837537
Saved in:
5
Stress Testing with Student's t Dependence
Kole, Erik
;
Verbeek, Marno
;
Koedijk, Koedijk, C.G.
-
Erasmus Research Institute of Management (ERIM), …
-
2003
necessary, specifying the marginal distributions and their dependence. Traditionally, dependence is described by a
correlation
…
Persistent link: https://www.econbiz.de/10010731320
Saved in:
6
Testing the Gaussian Copula Hypothesis for Financial Assets Dependences
Malevergne, Y.
;
Sornette, D.
-
EconWPA
-
2001
Using one of the key property of
copulas
that they remain invariant under an arbitrary monotonous change of variable … embrace blindly the Gaussian copula hypothesis, especially when the
correlation
coefficient between the pair of asset is too …
Persistent link: https://www.econbiz.de/10005134789
Saved in:
7
On the out-of-sample importance of skewness and asymetric dependence for asset allocation
Patton, Andrew J.
-
London School of Economics (LSE)
-
2002
Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The Þrst is skewness in the distribution of individual stock returns, while the second is an asymmetry in the dependence between stocks: stock...
Persistent link: https://www.econbiz.de/10011071238
Saved in:
8
An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick
;
Vorst, Ton
-
Erasmus Research Institute of Management (ERIM), …
-
2002
Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works...
Persistent link: https://www.econbiz.de/10010837529
Saved in:
9
An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick
;
Vorst, Ton
-
EconWPA
-
2001
In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works well for...
Persistent link: https://www.econbiz.de/10005413092
Saved in:
10
The inherent limits of ‘legal devices’: lessons for the public sector's central counterparty prescription for the OTC derivatives markets
Braithwaite, Jo
-
London School of Economics (LSE)
-
2011
In the wake of the financial crisis considerable momentum has built up behind proposals to extend central counterparty (CCP) clearing in the over-the-counter derivatives markets. However, implementation is proving complex. This paper argues that one cause of this complexity is that the public...
Persistent link: https://www.econbiz.de/10010745410
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