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Credit default swaps and firm risk
Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
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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
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Forecasting variance swap payoffs
Dark, Jonathan; Gao, Xin; Heijden, Thijs van der; … - In: The journal of futures markets 42 (2022) 12, pp. 2135-2164
Persistent link: https://www.econbiz.de/10013465873
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Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi; Xie, Jinming - In: The journal of futures markets 43 (2023) 4, pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
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Time varying price discovery
Avino, Davide; Lazar, Emese; Varotto, Simone - In: Economics letters 126 (2015), pp. 18-21
Persistent link: https://www.econbiz.de/10011376376
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Nonlinearities in the oil effects on the sovereign credit risk: a self-exciting threshold autoregression approach
Sabkha, Saker; Peretti, Christian de; Hmaied, Dorra Mezzez - In: Research in international business and finance 50 (2019), pp. 106-133
Persistent link: https://www.econbiz.de/10012177033
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Investor sentiment and credit default swap spreads during the global financial crisis
Lee, Jeehye; Kim, Sol; Park, Yuen Jung - In: The journal of futures markets 37 (2017) 7, pp. 660-688
Persistent link: https://www.econbiz.de/10011950863
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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
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A joint analysis of the term structure of credit default swap spreads and the implied volatility surface
Fonseca, José da; Gottschalk, Katrin - In: The journal of futures markets 33 (2013) 6, pp. 494-517
Persistent link: https://www.econbiz.de/10009756569
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A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Dai, Tian-Shyr; Fan, Chen-Chiang; Liu, Liang-Chih; … - In: The journal of futures markets 42 (2022) 12, pp. 2103-2134
Persistent link: https://www.econbiz.de/10013465872