Similar Search Results

Financial contagion during the eurocrisis

Weber, Sebastian - In: The theory of quantile regression and its application …, (pp. 39-82). 2016

Persistent link: https://www.econbiz.de/10011883036

Idiosyncratic risk clustering and stock market returns

Zeng, Kailin - In: Essays on empirical asset pricing, (pp. 97-145). 2017

Persistent link: https://www.econbiz.de/10011887143

Contagion risk during the euro area sovereign debt crisis : Greece, convertibility risk, and the ECB as lender of last resort

Watzka, Sebastian - In: Monetary policy, financial crises, and the macroeconomy …, (pp. 79-104). 2017

Persistent link: https://www.econbiz.de/10011898218

Impact of credit risk and business cycles on momentum returns

Sarwar, Sirajum Munira; Lin, Sharon X. W.; Muradoğlu, … - In: Handbook of recent advances in commodity and financial …, (pp. 17-39). 2018

Persistent link: https://www.econbiz.de/10011898598

Dynamic asset allocation with default and systemic risks

Sbuelz, Alessandro - In: Handbook of recent advances in commodity and financial …, (pp. 241-250). 2018

Persistent link: https://www.econbiz.de/10011898643

Liquidity risk in credit default swap markets

Junge, Benjamin; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 1-33, 105-123). 2016

The first chapter, which is joint work with Anders B. Trolle, analyzes whether liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). The analysis is based on a factor pricing model and a tradable liquidity factor that is constructed from returns on index...

Persistent link: https://www.econbiz.de/10011903311