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~institution:"Banca d'Italia"
~institution:"Departamento de Economía de la Empresa, Universidad Carlos III de Madrid"
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Search: subject:"Credit default swap"
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Cox-Ingersoll-Ross
1
Credit Default Swap prices
1
Credit default swap
1
Databases
1
Default
1
Illiquidity
1
Liquidity
1
L�vy processes
1
Risk premium
1
Sato processes
1
credit default swap
1
filtering methods
1
non-Gaussian Ornstein-Uhlenbeck processes
1
particle filter
1
unscented Kalman filter
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Bianchi, Michele Leonardo
1
Groba, Jonatan
1
Lafuente, Juan Ángel
1
Mayordomo, Sergio
1
Rivera, Juan Ignacio Peña Sánchez de
1
Schwartz, Eduardo S.
1
Serrano, Pedro
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Banca d'Italia
Departamento de Economía de la Empresa, Universidad Carlos III de Madrid
National Bureau of Economic Research
30
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
13
European Central Bank
6
Frankfurt School of Finance and Management
6
Bank for International Settlements (BIS)
5
HAL
5
Nationalekonomiska Institutionen, Ekonomihögskolan
5
Europäische Zentralbank / Advisory Group on Market Infrastructures for Securities and Collateral
4
Duale Hochschule Baden-Württemberg Stuttgart
3
Henley Business School, University of Reading
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Springer Fachmedien Wiesbaden
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Verlag Dr. Kovač
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Banco de España
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Basel Committee on Banking Supervision
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Centre d'études prospectives et d'informations internationales (CEPII)
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Economics Department, Fordham University
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Friedrich-Schiller-Universität Jena
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Institute for Monetary and Economic Studies, Bank of Japan
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Luxembourg School of Finance, Faculté de droit, d'économie et de finance
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Mohr Siebeck GmbH & Co. KG
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Oesterreichische Nationalbank
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School of Economics and Business Administration, University of Navarra
2
School of Economics, Universiteit Utrecht
2
Shaker Verlag
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Université Paris-Dauphine (Paris IX)
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1
On the compensation for illiquidity in sovereign credit markets
Groba, Jonatan
;
Lafuente, Juan Ángel
;
Serrano, Pedro
-
Departamento de Economía de la Empresa, Universidad …
-
2014
This article analyzes the role of liquidity in the sovereign
credit
default
swap
(CDS) market. We employ a continuous …
Persistent link: https://www.econbiz.de/10010939130
Saved in:
2
An empirical comparison of alternative
credit
default
swap
pricing models
Bianchi, Michele Leonardo
-
Banca d'Italia
-
2012
Most of the important models in finance rest on the assumption that randomness is explained through a normal random variable because, in general, the use of alternative models is obstructed by the difficulty of calibrating and simulating them. In this paper, we empirically study models for...
Persistent link: https://www.econbiz.de/10011099611
Saved in:
3
Are all
Credit
Default
Swap
databases equal?
Mayordomo, Sergio
;
Rivera, Juan Ignacio Peña Sánchez de
; …
-
Departamento de Economía de la Empresa, Universidad …
-
2010
sources of corporate
Credit
Default
Swap
prices: GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan, using the most liquid …
Persistent link: https://www.econbiz.de/10008740711
Saved in:
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