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Persistence of bank credit default swap spreads
Huang, Xin - In: Risks : open access journal 7 (2019) 3/90, pp. 1-13
Credit default swap (CDS) spreads measure the default risk of the reference entity and have been frequently used in recent empirical papers. To provide a rigorous econometrics foundation for empirical CDS analysis, this paper applies the augmented Dickey-Fuller, Phillips-Perron,...
Persistent link: https://www.econbiz.de/10012126480
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Uniform distance between the distribution function of Hill's estimator and the normal distribution function
Cheng, Shihong; Haan, Laurens de; Huang, Xin - 1993
Persistent link: https://www.econbiz.de/10000893853
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Test on association of random variables in the domain of attraction of multivariate stable law
Račev, Svetlozar T.; Huang, Xin - 1991
Persistent link: https://www.econbiz.de/10000842026
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A framework assessing the systemic risk of major financial institutions
Huang, Xin; Zhou, Hao; Zhu, Haibin - 2009
Persistent link: https://www.econbiz.de/10003847632
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A framework for assessing the systemic risk of major financial institutions
Huang, Xin; Zhou, Hao; Zhu, Haibin - In: Journal of banking & finance 33 (2009) 11, pp. 2036-2049
Persistent link: https://www.econbiz.de/10003892198
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A framework for assessing the systemic risk of major financial institutions
Huang, Xin; Zhou, Hao; Zhu, Haibin - 2009
Persistent link: https://www.econbiz.de/10003911902
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Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis
Huang, Xin; Zhou, Hao; Zhu, Haibin - 2010
Persistent link: https://www.econbiz.de/10008668335
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Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis
Huang, Xin; Zhou, Hao; Zhu, Haibin - 2009
Persistent link: https://www.econbiz.de/10003932724
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Systemic risk contributions
Huang, Xin; Zhou, Hao; Zhu, Haibin - In: Macroprudential regulation and policy : proceedings of …, (pp. 36-50). 2011
Persistent link: https://www.econbiz.de/10009529181
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Andersen, Torben; Bollerslev, Tim; Huang, Xin - In: Journal of econometrics 160 (2011) 1, pp. 176-189
Persistent link: https://www.econbiz.de/10009242526