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Explaining credit default swap spreads with the equity volatility and jump risks of individual firms

Zhang, Benjamin Yibin; Zhou, Hao; Zhu, Haibin - In: The review of financial studies 22 (2009) 12, pp. 5099-5131

Persistent link: https://www.econbiz.de/10003916314

Realized jumps on financial markets and predicting credit spreads

Tauchen, George Eugene; Zhou, Hao - 2006

Persistent link: https://www.econbiz.de/10003391507

Realized jumps on financial markets and predicting credit spreads

Tauchen, George Eugene; Zhou, Hao - 2006

Persistent link: https://www.econbiz.de/10009569792

Realized jumps on financial markets and predicting credit spreads

Tauchen, George Eugene; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 102-118

Persistent link: https://www.econbiz.de/10009242533

Credit default swap spreads and variance risk premia

Wang, Hao; Zhou, Hao; Zhou, Yi - In: Journal of banking & finance 37 (2013) 10, pp. 3733-3746

Persistent link: https://www.econbiz.de/10010126846

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541398