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Empirical studies of bond and credit markets

Feldhütter, Peter - 2007 - 1. ed.

Persistent link: https://www.econbiz.de/10003525474

The cross-section and time-series of stock and bond returns

Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2012

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The interactions between the credit default swap and the bond markets in financial turmoil

Coudert, Virginie; Gex, Mathieu - 2011

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Best-estimates in bond markets with reinvestment risk

MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276

The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...

Persistent link: https://www.econbiz.de/10011300314

Dynamic stock-bond return correlations and financial market uncertainty

Chiang, Thomas C.; Li, Jiandong; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 59-88

Persistent link: https://www.econbiz.de/10011333137

Identification and inference using event studies

Gürkaynak, Refet S.; Wright, Jonathan H. - 2013

Persistent link: https://www.econbiz.de/10009734152

Credit market conditions and the impact of the public debt market on corporate leverage

Judge, Amrit; Korzhenitskaya, Anna - In: International review of financial analysis 25 (2012), pp. 28-63

Persistent link: https://www.econbiz.de/10009688141

Exogenous variables in dynamic conditional correlation models for financial markets

Schopen, Jan-Hendrik - 2012

Dynamic correlation, Exogenous variables, DCCX, Macroeconomic Announcements, Diversification benefits. - In this dissertation, I analyze determinants of conditional correlations. Specifically, I propose the generalized DCCX model that facilitates the analysis of the effects of exogenous...

Persistent link: https://www.econbiz.de/10009698136

Identification and inference using event studies

Gürkaynak, Refet S.; Wright, Jonathan H. - In: Papers in money, macroeconomics and finance : … 81 (2013), pp. 48-65

Persistent link: https://www.econbiz.de/10010254184

Bond market event study methods

Ederington, Louis H.; Guan, Wei; Yang, Zongfei - In: Journal of banking & finance 58 (2015), pp. 281-293

Persistent link: https://www.econbiz.de/10011544008