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ECONIS (ZBW)
190,245
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1
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10
of
190,245
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1
An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps
Blanco, Roberto
;
Brennan, Simon
;
Marsh, Ian
- In:
The journal of finance : the journal of the American …
60
(
2005
)
5
,
pp. 2255-2282
Persistent link: https://www.econbiz.de/10003159335
Saved in:
2
Information efficiency of the US credit default swap market : evidence from earnings surprises
Zhang, Gaiyan
;
Zhang, Sanjian
- In:
Journal of financial stability
9
(
2013
)
4
,
pp. 720-730
Persistent link: https://www.econbiz.de/10010424067
Saved in:
3
Valuing default swaps under market and credit risk correlation
Jarrow, Robert A.
;
Yildirim, Yildiray
- In:
The journal of fixed income
11
(
2001
)
4
,
pp. 7-19
Persistent link: https://www.econbiz.de/10001701698
Saved in:
4
The integration of the credit default swap markets during the US subprime crisis : dynamic correlation analysis
Wang, Ping
;
Moore, Tomoe
- In:
Journal of international financial markets, …
22
(
2012
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10009540854
Saved in:
5
A correlated structural credit risk model with random coefficients and its Bayesian
estimation
using stock and credit market information
Kwon, Tae Yeon
- In:
The journal of risk model validation
10
(
2016
)
3
,
pp. 21-48
Persistent link: https://www.econbiz.de/10011587693
Saved in:
6
Distribution specific dependence and causality between industry-level U.S. credit and stock markets
Shahzad, Syed Jawad Hussain
;
Mensi, Walid
;
Hammoudeh, …
- In:
Journal of international financial markets, …
52
(
2018
),
pp. 114-133
Persistent link: https://www.econbiz.de/10011986230
Saved in:
7
Quantifying liquidity and default risks of corporate bonds over the business cycle
Chen, Hui
;
Cui, Rui
;
He, Zhiguo
;
Milbradt, Konstantin
- In:
The review of financial studies
31
(
2018
)
3
,
pp. 852-897
Persistent link: https://www.econbiz.de/10011925272
Saved in:
8
The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift
Liu, Xianghua
;
Xiao, Xueping
- In:
International journal of services technology and management
20
(
2014
)
1/2/3
,
pp. 71-84
Persistent link: https://www.econbiz.de/10010505392
Saved in:
9
Elliptical and archimedean copula models : an application to the price
estimation
of portfolio credit derivatives
Umeorah, Nneka
;
Mashele, Phillip
;
Ehrhardt, Matthias
- In:
The journal of credit risk : published quarterly by …
17
(
2021
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012519958
Saved in:
10
Increment variance reduction techniques with an application to multi-name credit derivatives
Rostan, Pierre
;
Rostan, Alexandra
;
Racicot, François-Éric
- In:
Computational economics
55
(
2020
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012222571
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