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A consistent weighted ranking scheme with an application to NCAA college football rankings
Fainmesser, Itay; Fershtman, Chaim; Gandal, Neil - In: Journal of sports economics 10 (2009) 6, pp. 582-600
Persistent link: https://www.econbiz.de/10003923228
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Investigating the dependence structure between credit default swap spreads and the U.S. financial market
Gatfaoui, Hayette - In: Annals of finance 6 (2010) 4, pp. 511-535
Persistent link: https://www.econbiz.de/10008652598
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Investigating the link between credit default swap spreads and the US financial market
Gatfaoui, Hayette - In: The credit derivatives handbook : global perspectives, …, (pp. 183-200). 2008
Persistent link: https://www.econbiz.de/10003748417
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The pricing of correlated default risk : evidence from the credit derivatives market
Tarashev, Nikola A. (contributor); Zhu, Haibin (contributor) - 2008
asset return correlations are too low to account for the spreads of index tranches and, thus, point to a large correlation … realized correlations, sheds light on market perceptions of and attitude towards correlation risk. …
Persistent link: https://www.econbiz.de/10003721579
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Impact of correlated default risk on credit portfolios
Das, Sanjiv R.; Fong, H. Gifford; Geng, Gary - In: The journal of fixed income 11 (2001) 3, pp. 9-19
Persistent link: https://www.econbiz.de/10001706056
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Cross-market correlations and transmission of information
Darbar, Salim M.; Deb, Partha - In: The journal of futures markets 22 (2002) 11, pp. 1059-1082
Persistent link: https://www.econbiz.de/10001713576
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Dynamical volatility and correlation among US stock and treasury bond cash and futures markets in presence of financial crisis : a copula approach
Liu, Hsiang-Hsi; Wang, Teng-Kun; Li, Weny - In: Research in international business and finance 48 (2019), pp. 381-396
Persistent link: https://www.econbiz.de/10012135956
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A flexible dynamic correlation model
Baur, Dirk - 2006
Persistent link: https://www.econbiz.de/10003331350
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Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio; Audrino, Francesco - 2008
Persistent link: https://www.econbiz.de/10003903350
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Realized correlation tick-by-tick
Corsi, Fulvio; Audrino, Francesco - 2007
Persistent link: https://www.econbiz.de/10003419771