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Assessment of time-varying systemic risk in credit default swap indices : simultaneity and contagiousness
Choe, Geon Ho; Choi, So Eun; Jang, Hyun Jin - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012666122
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The impact of central clearing on the market for single-name credit default swaps
Akari, Mohamed-Ali; Ben-Abdallah, Ramzi; Breton, Michèle; … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012822035
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The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
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Probability of default in collateralized credit operations
Divino, José Angelo; Sleegers Rocha, Líneke Clementino - In: The North American journal of economics and finance : a … 25 (2013), pp. 276-292
Persistent link: https://www.econbiz.de/10009779238
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Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model
Lin, Saiyan; Chen, Rongda; Lv, Zhihong; Zhou, Tianqing; … - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-8
Persistent link: https://www.econbiz.de/10012202884
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Equity and CDS sector indices : dynamic models and risk hedging
Caporin, Massimiliano - In: The North American journal of economics and finance : a … 25 (2013), pp. 261-275
Persistent link: https://www.econbiz.de/10009779255
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Low interest rates, bank's search-for-yield behavior and financial portfolio management
Lojak, Benjamin; Makarewicz, Tomasz; Proaño Acosta, … - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014246882
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The impacts of overseas market shocks on the CDS-option basis
Park, Yuen Jung; Kutan, Ali Mustafa; Ryu, Doojin - In: The North American journal of economics and finance : a … 47 (2019), pp. 622-636
Persistent link: https://www.econbiz.de/10012120141
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Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility
Kim, See-Woo; Kim, Jeong-Hoon - In: The North American journal of economics and finance : a … 48 (2019), pp. 149-169
Persistent link: https://www.econbiz.de/10012120223
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Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei; Wang, Shin-yun; Chen, Carl R.; Xu, Lian-Wen - In: The North American journal of economics and finance : a … 42 (2017), pp. 359-373
Persistent link: https://www.econbiz.de/10011938138