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Asymmetric dynamics in the correlations of global equity and bond returns
Sheppard, Kevin; Cappiello, Lorenzo; Engle, Robert F. - European Central Bank - 2003
JEL Classification: F3, G1, C5
Persistent link: https://www.econbiz.de/10005816158
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Internationally correlated jumps
Pukthuanthong, Kuntara; Roll, Richard - European Central Bank - 2012
are internationally correlated. Their possible inter-correlation is important for investors because international …
Persistent link: https://www.econbiz.de/10010686814
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How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches
Scheicher, Martin - European Central Bank - 2008
This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches …
Persistent link: https://www.econbiz.de/10005222351