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Two-step Murabaha in stock exchange as an alternative to commodity Murabaha for liquidity management

Gündoğdu, Ahmet Şuayb; Dogan, Erhan - In: International journal of financial services management … 7 (2014) 3/4, pp. 268-285

Persistent link: https://www.econbiz.de/10011287733

Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates

Tan, Jiyang; Li, Chun; Li, Ziqiang; Xiangqun, Yang; … - In: Mathematical methods of operations research 82 (2015) 1, pp. 61-83

Persistent link: https://www.econbiz.de/10011308397

Modeling portfolio defaults using hidden Markov models with covariates

Banachewicz, Konrad; Vaart, Aad W. van der; Lucas, André - 2006

We extend the Hidden Markov Model for defaults of Crowder, Davis, and Giampieri (2005) to include covariates. The covariates enhance the prediction of transition probabilities from high to low default regimes. To estimate the model, we extend the EM estimating equations to account for the time...

Persistent link: https://www.econbiz.de/10011349709

A heterogeneous agents equilibrium model for the term structure of bond market liquidity

Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2013

We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when … volume and maturity, ii) decreasing trading volume as assets age, iii) an increasing liquidity term structure when … considering ask prices, and iv) a liquidity term structure from bid prices that is decreasing or U-shaped. Empirical tests using …

Persistent link: https://www.econbiz.de/10009767309

Relationsship lending, default rate and loan portfolio quality

Cotugno, Matteo; Stefanelli, Valeria; Torluccio, Giuseppe - In: Applied financial economics 23 (2013) 7/9, pp. 573-587

Persistent link: https://www.econbiz.de/10009750704

Liquidity as an investment style

Ibbotson, Roger G.; Chen, Zhiwu; Kim, Daniel Y.-J.; Hu, … - In: Financial analysts' journal : FAJ 69 (2013) 3, pp. 30-44

Persistent link: https://www.econbiz.de/10009753727

Essays on financial and monetary economics

Licari, Juan Manuel - 2007

Persistent link: https://www.econbiz.de/10009690583

Markets liquidity risk under extremal dependence : analysis with VaRs methods

Ourir, Awatef; Snoussi, Wafa - In: Economic modelling 29 (2012) 5, pp. 1830-1836

Persistent link: https://www.econbiz.de/10009667092

Liquidity and portfolio choice : a unified approach

Kinlaw, Will; Kritzman, Mark; Turkington, David - In: The journal of portfolio management : a publication of … 39 (2013) 2, pp. 19-27

Persistent link: https://www.econbiz.de/10009708226

Optimal incentives and securitization of defaultable assets

Malamud, Semyon; Rui, Huaxia; Whinston, Andrew B. - In: Journal of financial economics 107 (2013) 1, pp. 111-135

Persistent link: https://www.econbiz.de/10009715167