Showing 1 - 10 of 44,711
The paper considers a no-arbitrage setting for pricing and relative value analysis of risky sovereign bonds. The … further elaboration. We discuss their proper measurement, derive and analyze the necessary no-arbitrage conditions that must …
Persistent link: https://www.econbiz.de/10012937615
various empirical limits-to-arbitrage proxies correlate differently with different parts of the basis term …
Persistent link: https://www.econbiz.de/10015408438
with the one that prevails under no-arbitrage. The oligopoly version of the relation is consistent with observed …
Persistent link: https://www.econbiz.de/10012974399
with the one that prevails under no-arbitrage. The oligopoly version of the relation is consistent with observed …
Persistent link: https://www.econbiz.de/10012943722
Persistent link: https://www.econbiz.de/10012152949
In asset pricing, most studies focus on finding new factors such as macroeconomic factors or firm characteristics to explain risk premium. Investigating whether these factors are useful in forecasting stock returns remains active research in the field of finance and computer science. This paper...
Persistent link: https://www.econbiz.de/10014235825
We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers into several key components, including the "velocity...
Persistent link: https://www.econbiz.de/10013059087
We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers into several key components, including the “velocity...
Persistent link: https://www.econbiz.de/10013059582
We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers into several key components, including the "velocity...
Persistent link: https://www.econbiz.de/10015302494
Persistent link: https://www.econbiz.de/10010254338