Similar Search Results - EconBiz

Contagion between liquid and illiquid assets during the financial crisis: evidence from the US credit derivative market

Kim, Jungmu; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 28 (2020) 3, pp. 107-122

This study aims to investigate the existence of contagion between liquid and illiquid assets in the credit default swap (CDS) market around the recent financial crisis. The authors perform analyses based on vector autoregression model and the dynamic conditional correlation model. The estimation...

Persistent link: https://www.econbiz.de/10012592651

An efficient approach for pricing spread options

Pearson, Neil D. - In: The journal of derivatives : the official publication … 3 (1995) 1, pp. 76-91

Persistent link: https://www.econbiz.de/10001219429

Risk budgeting : portfolio problem solving with value-at-risk

Pearson, Neil D. - 2002

Persistent link: https://www.econbiz.de/10001603413

Consumption and portfolio policies with incomplete markets and short-sale constraints : the infinite dimensional case

He, Hua - In: Journal of economic theory 54 (1991) 2, pp. 259-304

Persistent link: https://www.econbiz.de/10001108808

Differential interpretation of public signals and trade in speculative markets

Kandel, Eugene - In: Journal of political economy 103 (1995) 4, pp. 831-872

Persistent link: https://www.econbiz.de/10001185495

Open-end mutual funds and capital-gains taxes

Barclay, Michael J. - In: Journal of financial economics 49 (1998) 1, pp. 3-43

Persistent link: https://www.econbiz.de/10001244934

Exploiting the conditional density in estimating the term structure : an application to the Cox, Ingersoll, and Ross model

Pearson, Neil D. - In: The journal of finance : the journal of the American … 49 (1994) 4, pp. 1279-1304

Persistent link: https://www.econbiz.de/10001171966

Using proxies for the short rate : when are three months like an instant?

Chapman, David A.; Long, John B.; Pearson, Neil D. - In: The review of financial studies 12 (1999) 4, pp. 763-806

Persistent link: https://www.econbiz.de/10001421870

Is the short rate drift actually nonlinear?

Chapman, David A.; Pearson, Neil D. - In: The journal of finance : the journal of the American … 55 (2000) 1, pp. 355-388

Persistent link: https://www.econbiz.de/10001496998

Conditional estimation of diffusion processes

Li, Minqiang; Pearson, Neil D.; Poteshman, Allen M. - In: Journal of financial economics 74 (2004) 1, pp. 31-66

Persistent link: https://www.econbiz.de/10002251665

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