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Deciphering the Libor and Euribor Spreads during the subprime crisis
Pelizzon, Loriana; Sartore, Domenico - In: The North American journal of economics and finance : a … 26 (2013), pp. 565-585
Persistent link: https://www.econbiz.de/10010370493
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Deciphering the Libor and Euribor Spreads during the subprime crisis
Pelizzon, Loriana; Sartore, Domenico - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 565-585
collaterals in the short-term debt market, credit risk and the injection of liquidity by Central Banks through so …
Persistent link: https://www.econbiz.de/10011056699
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Deciphering the Libor and Euribor Spreads during the subprime crisis
Pelizzon, Loriana; Sartore, Domenico - Dipartimento di Economia, Università Ca' Foscari Venezia - 2013
collaterals in the short-term debt market, credit risk and the injection of liquidity by Central Banks through so …
Persistent link: https://www.econbiz.de/10010672360
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Mutual excitation in eurozone sovereign CDS
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - 2014
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting …-form formulae for CDS prices, and estimate the model by matching theoretical prices to their empirical counterparts. We find …
Persistent link: https://www.econbiz.de/10010368315
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Mutual excitation in eurozone sovereign CDS
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - 2014 - This Version: May 14, 2014
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting …-form formulae for CDS prices, and estimate the model by matching theoretical prices to their empirical counterparts. We find …
Persistent link: https://www.econbiz.de/10010357304
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Mutual excitation in Eurozone sovereign CDS
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - In: Journal of econometrics 183 (2014) 2, pp. 151-167
Persistent link: https://www.econbiz.de/10010506073
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Mutual excitation in Eurozone sovereign CDS
Aït-Sahalia, Yacine; Laeven, Roger J.A.; Pelizzon, Loriana - In: Journal of Econometrics 183 (2014) 2, pp. 151-167
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting …-form formulae for CDS prices, and estimate the model by matching theoretical prices to their empirical counterparts. We find …
Persistent link: https://www.econbiz.de/10011077597
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Mutual excitation in eurozone sovereign CDS
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - Research Center SAFE (Sustainable Architecture for … - 2014
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting …-form formulae for CDS prices, and estimate the model by matching theoretical prices to their empirical counterparts. We find …
Persistent link: https://www.econbiz.de/10010982109
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How has sovereign bond market liquidity changed? : an illiquidity spillover analysis
Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana - 2016
, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to quantify illiquidity … risks, especially such related to liquidity dry-ups, and illiquidity spillover across maturities by examining the reaction … processes. We find that: a) market liquidity is more fragile and less predictable when an asset is very illiquid and, b) the …
Persistent link: https://www.econbiz.de/10011552483
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How has sovereign bond market liquidity changed? An illiquidity spillover analysis
Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana - 2016
, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to quantify illiquidity … risks, especially such related to liquidity dry-ups, and illiquidity spillover across maturities by examining the reaction … processes. We find that: a) market liquidity is more fragile and less predictable when an asset is very illiquid and, b) the …
Persistent link: https://www.econbiz.de/10011553782