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Persistence of shocks in CDS returns on Croatian bonds : quantile autoregression approach
Bošnjak, Mile; Novak, Ivan; Bašić, Maja - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 37 (2019) 2, pp. 759-775
Persistent link: https://www.econbiz.de/10012213680
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The Extent of Informational Efficiency in the Credit Default Swap Market : Evidence from Post-Earnings Announcement Returns
Jenkins, Nicole Thorne - 2011
degree of semi-strong form market efficiency in the credit default swap (CDS) market by examining the relationship between … subsequent CDS returns and previously announced quarterly earnings surprises and quarterly accruals, both of which have been the … 2008, (2) during the credit crisis and (3) after the credit crisis. Prior to the credit crisis, the CDS market was …
Persistent link: https://www.econbiz.de/10013128515
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Forecasting high-yield equity and CDS index returns : does observed cross-market informational flow have predictive power?
Procasky, William J.; Yin, Anwen - In: The journal of futures markets 42 (2022) 8, pp. 1466-1490
Persistent link: https://www.econbiz.de/10013287989
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The extent of informational efficiency in the credit default swap market : evidence from post-earnings announcement returns
Jenkins, Nicole Thorne; Kimbrough, Michael D.; Wang, Juan - In: Review of quantitative finance and accounting 46 (2016) 4, pp. 725-761
Persistent link: https://www.econbiz.de/10011595485
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Fractal dynamics and wavelet analysis : deep volatility and return properties of Bitcoin, Ethereum and Ripple
Celeste, Valerio; Corbet, Shaen; Gurdgiev, Constantin - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 310-324
Persistent link: https://www.econbiz.de/10012417711
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Multiscale optimal portfolios using CAPM fractal regression : estimation for emerging stock markets
Tilfani, Oussama; Ferreira, Paulo; El Boukfaoui, My Youssef - In: Post-communist economies 32 (2020) 1, pp. 77-112
Persistent link: https://www.econbiz.de/10012206647
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Market efficiency and return predictability in the emerging securitized real estate markets
Schindler, Felix - In: Journal of real estate literature : a publication of … 19 (2011) 1, pp. 111-150
Persistent link: https://www.econbiz.de/10009384893
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Mean reversion in national stock markets revisited : empirical evidence from mature markets
Bernal, Alberto J.; Soikkeli, Jarkko - 2000
Persistent link: https://www.econbiz.de/10001485780
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Same firm, two volatilities : how variance risk is priced in credit and equity markets
Kita, Arben; Tortorice, Daniel L. - In: The journal of corporate finance : contracting, … 69 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10012629725
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Volatility information difference between CDS, options, and the cross section of options returns
Guo, Biao; Shi, Yukun; Xu, Yaofei - In: Quantitative finance 20 (2020) 12, pp. 2025-2036
Persistent link: https://www.econbiz.de/10012313548