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Economic linkages, relative scarcity, and commodity futures returns
Casassus, Jaime; Liu, Peng; Tang, Ke - In: The review of financial studies 26 (2013) 5, pp. 1324-1362
Persistent link: https://www.econbiz.de/10009752184
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Measuring risk in fixed income portfolios using yield curve models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10011441011
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Modeling term structure of default correlation
Suchintabandid, Sira - In: The journal of derivatives : the official publication … 22 (2015) 4, pp. 26-36
Persistent link: https://www.econbiz.de/10011399738
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A space-time random field model for electricity forward prices
Benth, Fred Espen; Paraschiv, Florentina - In: Journal of banking & finance 95 (2018), pp. 203-216
Persistent link: https://www.econbiz.de/10011966749
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An empirical study on the correlation structure of credit spreads based on the dynamic and pair copula functions
Changqing, Luo; Li, Mengzhen; Ouyang, Zisheng - In: China finance review international 6 (2016) 3, pp. 284-303
Persistent link: https://www.econbiz.de/10011722883
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Equity-bond returns correlation and the bond yield : evidence of switching behaviour from the G7 markets
Humpe, Andreas; McMillan, David G. - In: Credit and capital markets : Kredit und Kapital 49 (2016) 3, pp. 415-444
Persistent link: https://www.econbiz.de/10011555125
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Essays in financial economics
Greenwood, Robin - 2002
Persistent link: https://www.econbiz.de/10003779960
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Sectoral comovement, monetary policy and the credit channel
Di Pace, Federico; Görtz, Christoph - 2021
Persistent link: https://www.econbiz.de/10012795080
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Correct Numeraire/Bond Correlation in One-Factor HJM Models
Minnis, Mark A. - 2013
driven by the same Brownian motion it is frequently assumed that the log correlation between these assets is perfect over an … arbitrary interval. Our paper proves that the log correlation over is not perfect and we calculate the correct correlation for … correlation can lead to significant erroneous results …
Persistent link: https://www.econbiz.de/10013077986
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Credit risk correlation and the cost of bank loans
Javadi, Siamak; Osah, Theophilus Teye - In: Financial management : FM 53 (2024) 4, pp. 795-832
Persistent link: https://www.econbiz.de/10015130700