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Explaining credit spread changes : new evidence from option-adjusted bond indexes

Huang, Jing-Zhi; Kong, Weipeng - In: The journal of derivatives : the official publication … 11 (2003) 1, pp. 30-44

Persistent link: https://www.econbiz.de/10001798992

An econometric model of credit spreads with rebalancing, ARCH and jump effects

Bierens, Herman; Huang, Jing-zhi; Kong, Weipeng - 2003

In this paper, we examine the dynamic behavior of credit spreads on corporate bond portfolios. We propose an econometric model of credit spreads that incorporates portfolio rebalancing, the near unit root property of spreads, the autocorrelation in spread changes, the ARCH conditional...

Persistent link: https://www.econbiz.de/10005846814

Theslope of credit spread curves

Huang, Jing-Zhi; Zhang, Xiongfei - In: The journal of fixed income 18 (2008/09) 1, pp. 56-71

Persistent link: https://www.econbiz.de/10003757571

When does strategic debt-service matter?

Acharya, Viral V.; Huang, Jing-Zhi; Subrahmanyam, Marti G. - In: Economic theory : official journal of the Society for … 29 (2006) 2, pp. 363-378

Persistent link: https://www.econbiz.de/10003372620

Determinants of S&P 500 index option returns

Cao, Charles Q.; Huang, Jing-Zhi - In: Review of derivatives research 10 (2007) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10003705840

Inflation risk premium : evidence from the TIPS market

Grishchenko, Olesya V.; Huang, Jing-Zhi - 2012

Persistent link: https://www.econbiz.de/10009546875

Sentiment and corporate bond valuations before and after the onset of the credit crisis

Huang, Jing-Zhi; Rossi, Marco; Wang, Yuan - In: The journal of fixed income 25 (2015) 1, pp. 34-57

Persistent link: https://www.econbiz.de/10011399822

The information content of Basel III liquidity risk measures

Hong, Han; Huang, Jing-Zhi; Wu, Deming - In: Journal of financial stability 15 (2014), pp. 91-111

Persistent link: https://www.econbiz.de/10011306476

Should investors invest in hedge fund-like mutual funds? : evidence from the 2007 financial crisis

Huang, Jing-Zhi; Wang, Ying - In: Journal of financial intermediation 22 (2013) 3, pp. 482-512

Persistent link: https://www.econbiz.de/10009767859

The inflation risk premium : evidence from the TIPS market

Grishchenko, Olesya V.; Huang, Jing-Zhi - In: The journal of fixed income 22 (2013) 4, pp. 5-30

Persistent link: https://www.econbiz.de/10009745245