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Corporate credit default swap systematic factors
Chan, Ka Kei; Lin, Ming-Tsung; Lu, Qinye - In: The journal of futures markets 44 (2024) 7, pp. 1224-1256
Persistent link: https://www.econbiz.de/10014553983
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Credit default swaps and firm risk
Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
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Credit risk management in Greater China
Byström, Hans N. E. - In: The journal of futures markets 28 (2008) 6, pp. 582-597
Persistent link: https://www.econbiz.de/10003715013
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Empirical evidence on the dependence of credit default swaps and equity prices
Dupuis, Debbie; Jacquier, Eric; Papageorgiou, Nicolas; … - In: The journal of futures markets 29 (2009) 8, pp. 695-712
Persistent link: https://www.econbiz.de/10003899237
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Are credit spreads too low or too high? : a hybrid barrier option approach for financial distress
Lin, William; Sun, David - In: The journal of futures markets 29 (2009) 12, pp. 1161-1189
Persistent link: https://www.econbiz.de/10003900991
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Credit-implied equity volatility : long-term forecasts and alternative fear gauges
Byström, Hans N. E. - In: The journal of futures markets 35 (2015) 8, pp. 753-775
Persistent link: https://www.econbiz.de/10011392648
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A simple econometric approach for modeling stress event intensities
Jobst, Rainer; Rösch, Daniel; Scheule, Harald; … - In: The journal of futures markets 35 (2015) 4, pp. 300-320
Persistent link: https://www.econbiz.de/10011348422
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Transmigration across price discovery categories : evidence from the US CDS and equity markets
Xiang, Vincent; Chng, Michael; Fang, Victor - In: The journal of futures markets 33 (2013) 6, pp. 573-599
Persistent link: https://www.econbiz.de/10009756561
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The linkage between the options and credit default swap markets during the subprime mortgage crisis
Kim, Tong Suk; Park, Yuen Jung; Noh, Jaesun - In: The journal of futures markets 33 (2013) 6, pp. 518-554
Persistent link: https://www.econbiz.de/10009756568
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A joint analysis of the term structure of credit default swap spreads and the implied volatility surface
Fonseca, José da; Gottschalk, Katrin - In: The journal of futures markets 33 (2013) 6, pp. 494-517
Persistent link: https://www.econbiz.de/10009756569