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Recovering default risk from CDS spreads with a nonlinear filter

Guarin, Alexander; Liu, Xiaoquan; Ng, Wing Lon - In: Journal of Economic Dynamics and Control 38 (2014) C, pp. 87-104

We propose a nonlinear filter to estimate the time-varying default risk from the term structure of credit default swap (CDS) spreads. Based on the numerical solution of the Fokker–Planck equation (FPE) using a meshfree interpolation method, the filter performs a joint estimation of the...

Persistent link: https://www.econbiz.de/10010871007

Enhancing credit default swap valuation with meshfree methods

Guarin, Alexander; Liu, Xiaoquan; Ng, Wing Lon - In: European Journal of Operational Research 214 (2011) 3, pp. 805-813

In this paper, we apply the meshfree radial basis function (RBF) interpolation to numerically approximate zero-coupon bond prices and survival probabilities in order to price credit default swap (CDS) contracts. We assume that the interest rate follows a Cox-Ingersoll-Ross process while the...

Persistent link: https://www.econbiz.de/10009249545

The signalling properties of the shape of the credit default swap term structure

Castellanos, Jenny; Constantinou, Nick; Wing Lon Ng - In: Journal of risk 17 (2014/2015) 4, pp. 71-99

Persistent link: https://www.econbiz.de/10013262935

Minimizing Basel III capital requirements with unconditional coverage constraint

Kleinknecht, Manuel; Wing Lon Ng - In: Intelligent systems in accounting finance and … 22 (2015) 4, pp. 263-281

Persistent link: https://www.econbiz.de/10011536590

Night trading and market quality : Evidence from Chinese and US precious metal futures markets

Jiang, Ying; Kellard, Neil; Liu, Xiaoquan - In: Journal of Futures Markets 40 (2020) 10, pp. 1486-1507

Persistent link: https://www.econbiz.de/10012273037

Forecasting stock return volatility : realized volatility-type or duration-based estimators

Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621

Persistent link: https://www.econbiz.de/10014432725

Examining how government subsidies influence firms' circular supply chain management : the role of eco-innovation and top management team

Li, Miaomiao; Cao, Guikun; Li, Cui; Liu, Xiaoquan; Dai, Jing - In: International journal of production economics 261 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014336841

Bond return predictability : macro factors and machine learning methods

Jiang, Ying; Liu, Xiaoquan; Liu, Yirong; Zhu, Fumin - In: European financial management : the journal of the … 30 (2024) 5, pp. 2596-2627

Persistent link: https://www.econbiz.de/10015142089

Can currency-based risk factors help forecast exchange rates?

Ahmed, Shamim; Liu, Xiaoquan; Valente, Giorgio - In: International journal of forecasting 32 (2016) 1, pp. 75-97

Persistent link: https://www.econbiz.de/10011596451

Time-varying quantile association regression model with applications to financial contagion and VaR

Ye, Wuyi; Luo, Kebing; Liu, Xiaoquan - In: European journal of operational research : EJOR 256 (2017) 3, pp. 1015-1028

Persistent link: https://www.econbiz.de/10011639292