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The ICA-based factor decomposition of the Eurozone sovereign CDS spreads
Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - 2015
Persistent link: https://www.econbiz.de/10011375946
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The interaction between funding liquidity and market liquidity : evidence from subprime and European crises
Takeyama, Azusa; Tsuchida, Naoshi - 2015
Persistent link: https://www.econbiz.de/10011375981
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Risk aggregation with copula for banking industry
Yoshiba, Toshinao - 2015
Persistent link: https://www.econbiz.de/10011375924
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Wrong-way risk in credit valuation adjustment of credit default swap with copulas
Adachi, Tetsuya; Sueshige, Takumi; Yoshiba, Toshinao - 2019
Persistent link: https://www.econbiz.de/10013448467
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Stock return predictability and variance risk premia around the ZLB
Ogawa, Toshiaki; Ubukata, Masato; Watanabe, Toshiaki - 2020
Persistent link: https://www.econbiz.de/10013461530