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Copula dynamics in CDOs
Choros-Tomczyk, Barbara; Härdle, Wolfgang Karl; … - 2012
conditions. Therefore, a correlation implied from tranches can be seen as a measure of the general health of the credit market …
Persistent link: https://www.econbiz.de/10010318769
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
correlation. …
Persistent link: https://www.econbiz.de/10010276410
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CDOs and the Financial Crisis: Credit Ratings and Fair Premia
Wojtowicz, Marcin - 2011
This paper uses the market-standard Gaussian copula model to show that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. It implies that credit ratings are not sufficient for pricing, which is surprising given their central role in structured...
Persistent link: https://www.econbiz.de/10010326077
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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of indices, which have become a key barometer of mortgage market conditions during the recent financial crisis. After an introduction into ABX index mechanics and a discussion of...
Persistent link: https://www.econbiz.de/10011605102
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Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, Andre - 2011
autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions …
Persistent link: https://www.econbiz.de/10010326055
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10010276212
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10010276254
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Inference for rank-rank regressions
Chetverikov, Denis N.; Wilhelm, Daniel - 2023
Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...
Persistent link: https://www.econbiz.de/10014480485
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Restatement of the I-O coefficient stability problem
Dobrescu, Emilian - In: Journal of Economic Structures 2 (2013), pp. 1-67
The capacity of input-output tables to reflect the structural peculiarities of an economy and to forecast, on this basis, its evolution, depends essentially on the characteristics of the matrix A matrix of I-O (or technical) coefficients. However, the temporal behaviour of these coefficients is...
Persistent link: https://www.econbiz.de/10011551997
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Impact of democratic/non-democratic regimes on foreign direct investment in Pakistan: Pre and post September 11, 2001 scenarios
Nawaz, Tahir; Khan, Masood Amjad; Shah, Muhammad Akbar Ali - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 67-82
regression, Box-Jenkins methodologies have been applied initially then GARCH-type models are used to counter the problems of auto-correlation … observed that the volatility shocks are quite persistent and take a long time to die out. September 11, 2001incident and … thereafter war on terror has increased the conditional volatility of foreign direct investment and has statistically significant …
Persistent link: https://www.econbiz.de/10011938300