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Volatility spillovers in the European bank CDS market

Alemany, Aida; Ballester, Laura; González-Urteaga, Ana - In: Finance research letters 13 (2015), pp. 137-147

Persistent link: https://www.econbiz.de/10011552425

Time-varying correlation in housing prices

Zimmer, David M. - In: The journal of real estate finance and economics 51 (2015) 1, pp. 86-100

Persistent link: https://www.econbiz.de/10011474934

Modeling the dependence structure between default risk premium, equity return volatility and the jump risk : evidence from a financial crisis

Naifar, Nader - In: Economic modelling 29 (2012) 2, pp. 119-131

Persistent link: https://www.econbiz.de/10009536052

Explaining CDS prices with Merton's model before and after the Lehman default

Gemmill, Gordon; Marra, Miriam - In: Journal of banking & finance 106 (2019), pp. 93-109

Persistent link: https://www.econbiz.de/10012224244

Investor sentiment and credit default swap spreads during the global financial crisis

Lee, Jeehye; Kim, Sol; Park, Yuen Jung - In: The journal of futures markets 37 (2017) 7, pp. 660-688

Persistent link: https://www.econbiz.de/10011950863

From fears to recession? : time-frequency risk contagion among stock and credit default swap markets during the COVID pandemic

Zhai, Pengxiang; Wu, Fei; Ji, Qiang; Nguyen, Duc Khuong - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 551-580

Persistent link: https://www.econbiz.de/10014469034

Predictability of risk appetite in Turkey : local versus global factors

Gemici, Eray; Gök, Remzi; Bouri, Elie - In: Emerging markets review 55 (2023), pp. 1-28

Persistent link: https://www.econbiz.de/10014481075

CDS and equity markets' volatility linkages : lessons from the EMU crisis

Bratis, Theodoros; Laopodis, Nikiforos; Kouretas, … - In: Review of quantitative finance and accounting 60 (2023) 3, pp. 1259-1281

Persistent link: https://www.econbiz.de/10014291804

From volatility to stability : understanding the role of macroeconomic factors in sovereign CDS spreads

Alqaralleh, Huthaifa - In: Eurasian economic review : a journal in applied … 14 (2024) 3, pp. 665-707

Persistent link: https://www.econbiz.de/10015070264

Measuring exchange rate fluctuations risk using the value-at-risk

Akhtekhane, Saeed Shaker; Mohammadi, Parastoo - In: Journal of applied finance & banking 2 (2012) 3, pp. 65-79

The paper intends to measure the daily Value-at-Risk (VaR) for Rial-Euro exchange rate fluctuations risk. Since in this case we deal with a single risk factor, so we will not use the Monte Carlo simulation method to measure the VaR and we will only use the parametric and historical simulation...

Persistent link: https://www.econbiz.de/10009565377