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Mechanisms of overpricing : An investigation on momentum crashes

Huang, Alex - In: International review of economics & finance : IREF 89 (2024) 1, pp. 118-142

Persistent link: https://www.econbiz.de/10014446417

The impact of major events from the recent financial crisis on credit default swaps

Huang, Alex; Shen, Chung-hua; Chen, Chih-Chun - In: The journal of fixed income 21 (2012) 3, pp. 31-43

Persistent link: https://www.econbiz.de/10009532103

On the resilience of US ESG stocks : evidences from the COVID-19 market crashes

Hsu, Tzu-Jo; Huang, Alex - In: Economics letters 235 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015071332

Regime switching dynamics in credit default swaps: Evidence from smooth transition autoregressive model

Huang, Alex YiHou; Hu, Wen-Cheng - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 1497-1508

This paper investigates the dynamics of credit default swap (CDS) spread. We first find auto-correlations and cross-correlations of the CDS series and the CDS average by employing detrended cross-correlation analysis (DCCA). We then employ smooth transition autoregressive (STAR) models to...

Persistent link: https://www.econbiz.de/10010590074