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Are banks different? : evidence form the CDS market
Raunig, Burkhard; Scheicher, Martin - 2009
Persistent link: https://www.econbiz.de/10003810904
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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …
Persistent link: https://www.econbiz.de/10010472838
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Endogenous debt maturity : liquidity risk vs. default risk
Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018
Persistent link: https://www.econbiz.de/10011950510
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A worldwide system of reference rates
Williamson, John - 2006
Persistent link: https://www.econbiz.de/10003383881
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Expected monetary policy and the dynamics of bank lending rates
Kwapil, Claudia; Scharler, Johann - 2009
Persistent link: https://www.econbiz.de/10003847027
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Compression auctions : with an application to LIBOR-SOFR swap conversion
Duffie, Darrell - 2018
Persistent link: https://www.econbiz.de/10011941937
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On the suboptimality of single-factor exercise strategies for Bermudan swaptions
Svenstrup, Mikkel - 2002
Persistent link: https://www.econbiz.de/10001746717
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Sustainability of public debt in Europe : the use of swaps
Oldani, Chiara; Giannini, Bianca - 2021
Persistent link: https://www.econbiz.de/10013169729
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fficient Importance Sampling For ML Estimation of SCD Models
Bauwens, Luc; Galli, Fausto - Institut für Schweizerisches Bankwesen <Zürich> - 2007
The evaluation of the likelihood function of the stochastic conditional duration model requires to compute an integral that has the dimension of the sample size. We apply the efficient importance sampling method for computing this integral. We compare EIS-based ML estimation with QML estimation...
Persistent link: https://www.econbiz.de/10005858050
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Log-concave probability distributions : theory and statistical testing
An, Mark Yuying - 1996
Persistent link: https://www.econbiz.de/10000937936