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Credit Spreads : An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS

Forte, Santiago - 2012

This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads. A general VECM representation is proposed for changes in the three credit spread measures which accounts for zero, one, or two independent cointegration equations, depending...

Persistent link: https://www.econbiz.de/10012755686

Determinants of government bond spreads in the Euro Area : in good times as in bad

Aßmann, Christian; Boysen-Hogrefe, Jens - 2009

Despite the single currency, yields on government bonds in the Euro Area deviate from German bond yields. These bond spreads are usually attributed to differing default and liquidity risks. Recent research points out that time-varying global factors, approximated by risk measures or short term...

Persistent link: https://www.econbiz.de/10003877786

Jump Risk Premia in Short-Term Spread Options : Evidence from the German Electricity Market

Marckhoff, Jan - 2009

This paper analyzes the valuation of day-ahead Physical Transmission Rights (PTRs) on the German-Dutch interconnector. From a financial perspective, PTRs are options written on the difference between the German and Dutch hourly electricity prices. We propose a model for the valuation of...

Persistent link: https://www.econbiz.de/10013159854

Extended Libor market models with affine and quadratic volatility

Zühlsdorff, Christian - 2002

Persistent link: https://www.econbiz.de/10001667067

Extended Libor market models with affine and quadratic volatility

Zühlsdorff, Christian - 2002

dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …

Persistent link: https://www.econbiz.de/10011538865

Default risk in bond and credit derivatives markets

Benkert, Christoph - 2004

Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising...

Persistent link: https://www.econbiz.de/10002146228

Improving market-based forecasts of short-term interest rates : time-varying stationarity and the predictive content of switching regime-expectations

Ahrens, Ralf - 1999

Modeling short-term interest rates as following regime-switching processes has become increasingly popular. Theoretically, regime-switching models are able to capture rational expectations of infrequently occurring discrete events. Technically, they allow for potential time-varying stationarity....

Persistent link: https://www.econbiz.de/10009768272

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

Persistent link: https://www.econbiz.de/10013261076

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

Persistent link: https://www.econbiz.de/10011476532

Zinsswaps und ausfallriskante Anleihen in Deutschland

Metzner, Günther - 2001

Persistent link: https://www.econbiz.de/10001615568