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Part I: Econometrics of Financial Markets -- Information Asymmetry, Liquidity and the Dynamic Volume-Return Relation in Panel Data Analysis -- Density forecasts of emerging markets’ exchange rates using Monte Carlo simulation with regime switching -- Determination of the own funds requirements...
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We develop a model in which investment risk drives the demand for CDS insurance. The model shows the efficiency of CDS … contracting over the state of the economy. It shows that CDS overinsurance (insurance in excess of renegotiation surpluses) is …
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