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What drives the cross-section of credit spreads? : a variance decomposition approach
Nozawa, Yoshio - 2014
Persistent link: https://www.econbiz.de/10010434016
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Nonparametric interest rate cap pricing : implications for the "unspanned stochastic volatility" puzzle
Wu, Tao L. - In: Asia-Pacific journal of financial studies 40 (2011) 4, pp. 577-598
Persistent link: https://www.econbiz.de/10009388552
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Cross-currency credit spreads : harvesting the idiosyncratic basis as a source of ARP
Henide, Karim - In: Journal of derivatives and quantitative studies 30 (2022) 2, pp. 74-88
This paper identifies the "idiosyncratic basis", the residual premia computed from stripping away the hypothetical cross-currency basis (CCB) from the cross-currency credit spread (CCCS) of eligible senior corporate dollardenominated bonds relative to their hypothetical euro-denominated...
Persistent link: https://www.econbiz.de/10013202388
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Interest rate risk estimation : a new duration-based approach
Bajo, Emanuele; Barbi, Massimiliano; Hullier, David - In: Applied economics 45 (2013) 19/21, pp. 2697-2704
Persistent link: https://www.econbiz.de/10010189364
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Risk premia in the 8:30 economy
Faust, Jon; Wright, Jonathan H. - In: The quarterly journal of finance 8 (2018) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10011922029
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What drives the cross-section of credit spreads? : a variance decomposition approach
Nozawa, Yoshio - In: The journal of finance : the journal of the American … 72 (2017) 5, pp. 2045-2072
Persistent link: https://www.econbiz.de/10011764337
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Emerging market debt and the COVID-19 pandemic : a time-frequency analysis of spreads and total returns dynamics
Gubareva, Mariya; Umar, Zaghum - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 112-126
Persistent link: https://www.econbiz.de/10014248114
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Integrated capital shares
Juuti, Toni - In: Applied economics letters 27 (2020) 18, pp. 1533-1540
Persistent link: https://www.econbiz.de/10012315659
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An investigation of the macroeconomic determinants of household debt in Lesotho : evidence from principal components and the ARDL approach
Damane, Moeti - In: International journal of economic policy in emerging … 17 (2023) 3, pp. 283-306
Persistent link: https://www.econbiz.de/10014308651
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Der Erfolg von Flexicurity
Huber, Stefan - 2009
Persistent link: https://www.econbiz.de/10003890352