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Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets
Procasky, William J.; Yin, Anwen - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014247017
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The relative efficiency of investment grade credit and equity markets
Procasky, William J. - In: International Journal of Financial Markets and … 9 (2023) 1/2, pp. 43-58
Persistent link: https://www.econbiz.de/10014311699
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Price discovery in CDS and equity markets : default risk-based heterogeneity in the systematic investment grade and high yield sectors
Procasky, William J. - In: Journal of financial markets 54 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10013273142
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Forecasting high-yield equity and CDS index returns : does observed cross-market informational flow have predictive power?
Procasky, William J.; Yin, Anwen - In: The journal of futures markets 42 (2022) 8, pp. 1466-1490
Persistent link: https://www.econbiz.de/10013287989
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Credit Default Swaps und Informationsgehalt
Wagner, Eva - 2008
zienz -- Asymmetrische Informationsverteilung am CDS-Markt -- CDS-, Anleihe- und Aktienmarkt -- Empirische Untersuchung zum …-amerikanische Unternehmen durch. Die Ergebnisse zeigen auf, dass im „deutschen Markt“ Informationen vom CDS-Markt zum Aktienmarkt hin fließen …
Persistent link: https://www.econbiz.de/10013517112
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Credit Default Swaps und Informationsgehalt
Wagner, Eva - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003722063
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Are CDS spreads predictable? : an analysis of linear and non-linear forecasting models
Avino, Davide; Nneji, Ogonna - In: International review of financial analysis 34 (2014), pp. 262-274
Persistent link: https://www.econbiz.de/10010529033
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The relationship between spot and futures oil prices : do structural breaks matter?
Chen, Pei-fen; Lee, Chien-chiang; Zeng, Jhih-hong - In: Energy economics 43 (2014), pp. 206-217
Persistent link: https://www.econbiz.de/10010504823
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Determinants of stock market indices : an analysis of emerging markets of Brazil, Mexico, Russia, and Turkey
Yılmaz, Hülya; İlhan, Bülent - In: Emerging Markets Journal : EMAJ 12 (2022) 1, pp. 26-38
Persistent link: https://www.econbiz.de/10013362986
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Evaluating the Efficiency of Brazilian Stock Market Indices : The Case of COVID-19
Fernandes, Leonardo HS; Araujo, Fernando Henrique Antunes de - 2022
This paper study the efficiency of Brazilian activity sectors. For that, we apply the Macroeconophysics Indicator of Economic Efficiency (MIEE) for each sector’s index of the daily closing price in the stock market. The MIEE quantifies efficiency considering permutation entropy and Fisher...
Persistent link: https://www.econbiz.de/10013404194