Equity market information and credit risk signaling : a quantile cointegrating regression approach
Year of publication: |
August 2017
|
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Authors: | Gatfaoui, Hayette |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 64.2017, p. 48-59
|
Subject: | CDS | Cointegration | Credit risk | Fat tail | Implied volatility | Market risk | Quantile regression | Regime shifts | Risk management | Risk signal | Skewness | Theorie | Theory | Kreditrisiko | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Risikomanagement | Regressionsanalyse | Regression analysis | Kointegration | Kreditderivat | Credit derivative | Risikomaß | Risk measure | Signalling | Risikoprämie | Risk premium | Börsenkurs | Share price | Schätzung | Estimation |
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