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The liquidity premium in CDS transaction prices : do frictions matter?
Gehde-Trapp, Monika; Gündüz, Yalın; Nasev, Julia - In: Journal of banking & finance 61 (2015), pp. 184-205
Persistent link: https://www.econbiz.de/10011545180
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The impact of CDS trading on the bond market : evidence from Asia
Shim, Ilhyock; Zhu, Haibin - In: Journal of banking & finance 40 (2014), pp. 460-475
Persistent link: https://www.econbiz.de/10010404699
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Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps
Calice, Giovanni; Mio, RongHui; Štěrba, Filip; … - In: Journal of empirical finance 33 (2015), pp. 174-189
Persistent link: https://www.econbiz.de/10011556866
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Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes : a measure of spillover effect in European debt crisis
Hui, Cho H.; Lo, Chi-fai; Lau, Chun-sing - In: Journal of banking & finance 37 (2013) 9, pp. 3694-3703
Persistent link: https://www.econbiz.de/10010126296
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Predicting stock returns : a regime-switching combination approach and economic links
Zhu, Xiaoneng; Zhu, Jie - In: Journal of banking & finance 37 (2013) 11, pp. 4120-4133
Persistent link: https://www.econbiz.de/10010245613
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Optimal reinsurance and asset allocation under regime switching
Jang, Bong-Gyu; Kim, Kyeong Tae - In: Journal of banking & finance 56 (2015), pp. 37-47
Persistent link: https://www.econbiz.de/10011488574
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Can we distinguish regime switching from long memory? : a simulation evidence
Shi, Yanlin - In: Applied economics letters 22 (2015) 4/6, pp. 318-323
Persistent link: https://www.econbiz.de/10010506750
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Long memory and regime switching : a simulation study on the Markov regime-switching ARFIMA model
Shi, Yanlin; Ho, Kin-Yip - In: Journal of banking & finance 61 (2015) 2, pp. 189-204
Persistent link: https://www.econbiz.de/10011585562
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A regime-switching approach to estimating the nonlinear quantity-based monetary policy rule in China
Zhang, Xu; Liu, Xiaoxing; Hang, Jianqin; Yao, Dengbao - In: Applied economics letters 24 (2017) 1/3, pp. 132-135
Persistent link: https://www.econbiz.de/10011703973
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Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142
Persistent link: https://www.econbiz.de/10011817944