Similar Search Results

The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance

An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130

Persistent link: https://www.econbiz.de/10003647668

The distribution of standardized futures price changes

Venkateswaran, Meenakshi - In: The journal of futures markets 13 (1993) 3, pp. 279-298

Persistent link: https://www.econbiz.de/10001145992

Supplementary information and Markov processes in soybean futures trading

Turner, Steven C. - In: The journal of futures markets 12 (1992) 1, pp. 61-74

Persistent link: https://www.econbiz.de/10001124728

The probability distribution of futures prices in the foreign exchange market : a comparison of candidate processes

Fujihara, Roger Arnold - In: The journal of futures markets 10 (1990) 6, pp. 623-641

Persistent link: https://www.econbiz.de/10001095875

An examination of the distribution of futures price changes

Helms, Billy Paul - In: The journal of futures markets 5 (1985) 2, pp. 259-272

Persistent link: https://www.econbiz.de/10001128563

How important is a non-default factor for CDS valuation?

Guo, Biao; Han, Qian; Lee, Jaeram; Ryu, Doojin - In: The journal of futures markets 35 (2015) 11, pp. 1088-1101

Persistent link: https://www.econbiz.de/10011546218

House prices and credit risk : evidence from the United States

Tajik, Mohammad; Aliakbari, Saeideh; Ghalia, Thaana; … - In: Economic modelling 51 (2015), pp. 123-135

Persistent link: https://www.econbiz.de/10011475862

Foreign acquisition and credit risk : evidence from the U.S. CDS market

Yilmaz, Umit - 2016 - This draft: May 31, 2016

This paper empirically analyses the effect of foreign block acquisitions on the U.S. target firms' credit risk as captured by their CDS. The involvement of foreign investors leads to a significant increase in the target firms' CDS spreads. This effect is stronger when foreign owners are...

Persistent link: https://www.econbiz.de/10011519062

Macroeconomic conditions and credit default swap spread changes

Kim, Tong Suk; Park, Jae Won; Park, Yuen Jung - In: The journal of futures markets 37 (2017) 8, pp. 766-802

Persistent link: https://www.econbiz.de/10011950882

Estimation of physical intensity models for default risk

Denault, Michel; Gauthier, Geneviève; Simonato, Jean-Guy - In: The journal of futures markets 29 (2009) 2, pp. 95-113

Persistent link: https://www.econbiz.de/10003831056