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Valuing default swaps under market and credit risk correlation
Jarrow, Robert A.; Yildirim, Yildiray - In: The journal of fixed income 11 (2001) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10001701698
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Asymmetric convergence in US financial credit default swap sector index markets
Chen, Li-Hsueh; Hammoudeh, Shawkat; Yuan, Yuan - In: The quarterly review of economics and finance : journal … 51 (2011) 4, pp. 408-418
Persistent link: https://www.econbiz.de/10009373138
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A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 4, pp. 510-525
Persistent link: https://www.econbiz.de/10003772293
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Distressed debt prices and recovery rate estimation
Guo, Xin; Jarrow, Robert A.; Lin, Haizhi - In: Review of derivatives research 11 (2008) 3, pp. 171-204
Persistent link: https://www.econbiz.de/10003835030
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Dynamic factor models with macro, frailty, and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 4, pp. 521-532
Persistent link: https://www.econbiz.de/10009667047
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Dynamics of CDS spread indexes of US financial sectors
Hammoudeh, Shawkat; Nandha, Mohan; Yuan, Yuan - In: Applied economics 45 (2013) 1/3, pp. 213-223
Persistent link: https://www.econbiz.de/10009713049
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Observation-driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, … - In: The review of economics and statistics 96 (2014) 5, pp. 898-915
Persistent link: https://www.econbiz.de/10010470540
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Credit cycles and macro fundamentals
Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - In: Journal of empirical finance 16 (2009) 1, pp. 42-54
Persistent link: https://www.econbiz.de/10003800184
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Empirical credit cycles and capital buffer formation
Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - In: Journal of banking & finance 29 (2005) 12, pp. 3159-3179
Persistent link: https://www.econbiz.de/10003203860
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Distribution specific dependence and causality between industry-level U.S. credit and stock markets
Shahzad, Syed Jawad Hussain; Mensi, Walid; Hammoudeh, … - In: Journal of international financial markets, … 52 (2018), pp. 114-133
Persistent link: https://www.econbiz.de/10011986230