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We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …
Persistent link: https://www.econbiz.de/10012763174
We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable...
Persistent link: https://www.econbiz.de/10013125926
econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong …
Persistent link: https://www.econbiz.de/10012774902