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The "COVID" crash of the 2020 US Stock market

Shu, Min; Song, Ruiqiang; Zhu, Wei - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10013186572

The 2021 Bitcoin Bubbles and Crashes – Detection and Classification

Shu, Min; Song, Ruiqiang; Zhu, Wei - 2021

In this study, we adopted the Log-Periodic Power Law Singularity (LPPLS) model for real-time identification and monitoring of Bitcoin bubbles and crashes using different time scale data and proposed the modified Lagrange regularization method to alleviate the impact of potential LPPLS model...

Persistent link: https://www.econbiz.de/10013323144

Implications of correlated default for portfolio allocation to corporate bonds

Wise, Mark B.; Bhansali, Vineer - In: The credit market handbook : advanced modeling issues, (pp. 165-185). 2006

Persistent link: https://www.econbiz.de/10003338131

Modeling swap spreads in normal and stressed environments

Bhansali, Vineer; Schwarzkopf, Yonathan; Wise, Mark B. - In: The journal of fixed income 18 (2008/09) 4, pp. 5-23

Persistent link: https://www.econbiz.de/10003848027

Corporate bond risk from stock dividend uncertainty

Wise, Mark B.; Lee, Peter B.; Bhansali, Vineer - In: International journal of theoretical and applied finance 7 (2004) 6, pp. 741-755

Persistent link: https://www.econbiz.de/10002200671

Fat tails and stop-losses in portable alpha

Wise, Mark B.; Schwarzkopf, Yonathan; Bhansali, Vineer - In: Journal of investment management : JOIM 9 (2011) 3, pp. 19-32

Persistent link: https://www.econbiz.de/10009316328