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Dynamical Agents' Strategies and the Fractal Market Hypothesis

Vácha, Lukáš; Vošvrda, Miloslav S. - In: Prague Economic Papers 2005 (2005) 2, pp. 163-170

The efficient market hypothesis (EMH) fails as a valid model of financial markets. The fractal market hypothesis (FMH) is a more general alternative way to the EMH. The FMH is formed on the following parameter space: agents' investment horizons. A financial market is more stable when a fractal...

Persistent link: https://www.econbiz.de/10005036551

The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads

Adler, Michael; Song, Jeong - In: International journal of finance & economics : IJFE 15 (2010) 1, pp. 31-58

Persistent link: https://www.econbiz.de/10008702370

Covered interest rate parity in emerging markets

Skinner, Frank S.; Mason, Andrew - In: International review of financial analysis 20 (2011) 5, pp. 355-363

Persistent link: https://www.econbiz.de/10009492093

Are credit default swaps a sideshow? : evidence that information flows from equity to CDS markets

Hilscher, Jens; Pollet, Joshua M.; Wilson, Mungo - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 3, pp. 543-567

Persistent link: https://www.econbiz.de/10011391417

Firm credit risk in normal times and during the crisis : are banks less risky?

Raunig, Burkhard - In: Applied economics 47 (2015) 22/24, pp. 2455-2469

Persistent link: https://www.econbiz.de/10010516600

Internal control quality and credit default swap spreads

Tang, Dragon Yongjun; Tian, Feng; Yan, Hong - In: Accounting horizons : a quarterly publication of the … 29 (2015) 3, pp. 603-629

Persistent link: https://www.econbiz.de/10011374528

The price of liquidity : CD rates charged by money market funds

Whitledge, Matthew D.; Winters, Drew B. - In: Journal of banking & finance 54 (2015), pp. 104-114

Persistent link: https://www.econbiz.de/10011377794

Price discovery process in the emerging sovereign CDS and equity markets

Ngene, Geoffrey M.; Hassan, M. Kabir; Alam, Nafis - In: Emerging markets review 21 (2014), pp. 117-132

Persistent link: https://www.econbiz.de/10011304334

A volatility-based single parameter Loss Given Default model

Yang, Hank - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 196-210

Persistent link: https://www.econbiz.de/10011306351

The liquidity premium in CDS transaction prices : do frictions matter?

Gehde-Trapp, Monika; Gündüz, Yalın; Nasev, Julia - 2015 - [This version]: August 2015

Based on individual CDS transactions cleared by the Depository Trust & Clearing Corporation, we show that illiquidity …

Persistent link: https://www.econbiz.de/10011308604