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The Number of State Variables for CDS Pricing
Guo, Biao; Han, Qian; Ryu, Doojin - 2013
variation in the data, resulting in a 20.04 bps root mean square error (RMSE). The second component corresponds to a liquidity … sheds light on CDS pricing and provides support for the most recent findings that liquidity risk is priced in CDS spreads. …
Persistent link: https://www.econbiz.de/10011003231
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Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia
Chow, Gregory C; Huang, Shicheng; Niu, Linlin - 2013
This paper studies the economic integration of East Asian economies among one another and with the US using co-movement of stock market prices. Both time-varying correlations and regressions are employed. We have traced the increased integration from 1980 to 2011 among the NIEs of Korea, Hong...
Persistent link: https://www.econbiz.de/10010892117