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The empirical relation between credit quality, recovery and correlation

Rösch, Daniel; Scheule, Harald - 2009

correlation. -- Asset Value ; Correlation ; Credit Portfolio ; Loss Given Default ; Merton Model ; Probability of Default …

Persistent link: https://www.econbiz.de/10003846062

Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia

Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15

there is a negative significant volatility spillover from four of the five selected stock markets (Australia, China, Japan …

Persistent link: https://www.econbiz.de/10013397677

The linkage between stock and inter-bank bond markets in China : a dynamic conditional correlation (DCC) analysis

Hassanein, Ahmed; Elgohari, Hanaa - In: International journal of economics and business … 20 (2020) 1, pp. 80-99

Persistent link: https://www.econbiz.de/10012271095

Intraday market making with overnight inventory costs

Adrian, Tobias; Capponi, Agostino; Vogt, Erik; Zhang, … - 2016

The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market-making theories, we model an HFT...

Persistent link: https://www.econbiz.de/10011568504