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Forecasting credit default swap premiums with Google search volume
Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 52-85). 2016
Persistent link: https://www.econbiz.de/10011733592
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Does modeling framework matter? : A comparative study of structural and reduced-form models
Gündüz, Yalın; Uhrig-Homburg, Marliese - 2011
approaches to bond and equity prices. By using same input data, applying comparable estimation techniques, and assessing the out …
Persistent link: https://www.econbiz.de/10009010090
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Are CDS spreads predictable? : an analysis of linear and non-linear forecasting models
Avino, Davide; Nneji, Ogonna - In: International review of financial analysis 34 (2014), pp. 262-274
Persistent link: https://www.econbiz.de/10010529033
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An analysis of sectoral equity and CDS spreads
Narayan, Paresh Kumar - In: Journal of international financial markets, … 34 (2015), pp. 80-93
Persistent link: https://www.econbiz.de/10011474484
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Die Prognose von Credit-Default-Swap-Spreads mit linearen Zustandsraummodellen
Merkl, Johannes - 2019
Persistent link: https://www.econbiz.de/10012098509
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Forecasting Asian Credit Default Swap Spreads : a comparison of multi-regime models
Chatchai Khiewngamdee; Woraphon Yamaka; Songsak … - In: Robustness in econometrics, (pp. 471-489). 2017
Persistent link: https://www.econbiz.de/10011801798
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Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility
Forte, Santiago; Lovreta, Lidija - In: The journal of corporate finance : contracting, … 79 (2023), pp. 1-33
Persistent link: https://www.econbiz.de/10014250993
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Current and prospective estimate of counterparty risk through dynamic neural networks
Agnese, Alessio; Giribone, Pier Giuseppe; Querci, Francesca - In: Risk management magazine 17 (2022) 2, pp. 42-61
The estimate of the probability of default plays a central role for any financial entity that wants to have an overview of the risks of insolvency it may incur by having economic relations with counterparties. This study aims to analyze the calculation of such measure in the context of...
Persistent link: https://www.econbiz.de/10013501084
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A framework assessing the systemic risk of major financial institutions
Huang, Xin; Zhou, Hao; Zhu, Haibin - 2009
Persistent link: https://www.econbiz.de/10003847632
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A framework for assessing the systemic risk of major financial institutions
Huang, Xin; Zhou, Hao; Zhu, Haibin - In: Journal of banking & finance 33 (2009) 11, pp. 2036-2049
Persistent link: https://www.econbiz.de/10003892198