Equity market information and credit risk signaling : a quantile cointegrating regression approach
Hayette Gatfaoui
| 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
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| Subject: | CDS | Cointegration | Credit risk | Fat tail | Implied volatility | Market risk | Quantile regression | Regime shifts | Risk management | Risk signal | Skewness | Kreditrisiko | Risikomanagement | Volatilität | Volatility | Regressionsanalyse | Regression analysis | Kreditderivat | Credit derivative | Theorie | Theory | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Kointegration | Statistische Verteilung | Statistical distribution | Risikoprämie | Risk premium | Marktrisiko | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Signalling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2017.03.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011756467