Narrow search
Showing 1 - 10 of 1,056
Cover Image
Asymmetric determinants of CDS spreads : U.S. industry-level evidence through the NARDL approach
Shahzad, Syed Jawad Hussain; Nor, Safwan Mohd; Ferrer, … - In: Economic modelling 60 (2017), pp. 211-230
Persistent link: https://www.econbiz.de/10011734203
Cover Image
A risk-driven approach to exchange rate modelling
Kębłowski, Piotr; Welfe, Aleksander - In: Economic modelling 29 (2012) 4, pp. 1473-1482
Persistent link: https://www.econbiz.de/10009667319
Cover Image
Equity market information and credit risk signaling : a quantile cointegrating regression approach
Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59
Persistent link: https://www.econbiz.de/10011756467
Cover Image
Mixed copula model with stochastic correlation for CDO pricing
Chen, Jianli; Liu, Zhen; Li, Shenghong - In: Economic modelling 40 (2014), pp. 167-174
Persistent link: https://www.econbiz.de/10010425701
Cover Image
Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain
Dong, Yinghui; Wang, Guojing - In: Economic modelling 40 (2014), pp. 91-100
Persistent link: https://www.econbiz.de/10010425718
Cover Image
Modeling the dependence structure between default risk premium, equity return volatility and the jump risk : evidence from a financial crisis
Naifar, Nader - In: Economic modelling 29 (2012) 2, pp. 119-131
Persistent link: https://www.econbiz.de/10009536052
Cover Image
Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest
Bao, Qunfang; Chen, Si; Li, Shenghong - In: Economic modelling 29 (2012) 2, pp. 471-477
Persistent link: https://www.econbiz.de/10009536792
Cover Image
Disentangling the bond-CDS nexus : a stress test model of the CDS market
Vuillemey, Guillaume; Peltonen, Tuomo - In: Economic modelling 49 (2015), pp. 32-45
Persistent link: https://www.econbiz.de/10011439475
Cover Image
Emerging market sovereign bond spreads, credit ratings and global financial crisis
Özmen, Erdal; Yaşar, Özge Doğanay - In: Economic modelling 59 (2016), pp. 93-101
Persistent link: https://www.econbiz.de/10011647772
Cover Image
Counterparty choice in the UK credit default swap market : an empirical matching approach
Ferrara, Gerardo; Kim, Jun Sung; Koo, Bonsoo; Liu, Zijun - In: Economic modelling 94 (2021), pp. 58-74
Persistent link: https://www.econbiz.de/10012694709