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Performance and determinants of the Merton structural model : evidence from hedging coefficients
Barsotti, Flavia; Del Viva, Luca - In: Journal of banking & finance 58 (2015), pp. 95-111
Persistent link: https://www.econbiz.de/10011543912
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Returns to scale at large banks in the US : a random coefficient stochastic frontier approach
Feng, Guohua; Zhangaohui, Xi - In: Journal of banking & finance 39 (2014), pp. 135-145
Persistent link: https://www.econbiz.de/10010340764
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Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
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Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho - In: Journal of banking & finance 47 (2014), pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
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The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises
Avouyi-Dovi, Sanvi; Horny, Guillaume; Sevestre, Patrick - In: Journal of banking & finance 79 (2017), pp. 74-94
Persistent link: https://www.econbiz.de/10011815138
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Unfolded risk-return trade-offs and links to Macroeconomic Dynamics
Liu, Xiaochun - In: Journal of banking & finance 82 (2017), pp. 1-19
Persistent link: https://www.econbiz.de/10011816457
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Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
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Jumps, cojumps, and efficiency in the spot foreign exchange market
Piccotti, Louis R. - In: Journal of banking & finance 87 (2018), pp. 49-67
Persistent link: https://www.econbiz.de/10011962493
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Risk factors and their associated risk premia : an empirical analysis of the crude oil market
Hain, Martin; Uhrig-Homburg, Marliese; Unger, Nils - In: Journal of banking & finance 95 (2018), pp. 44-63
Persistent link: https://www.econbiz.de/10011966706
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High-frequency financial data modeling using Hawkes processes
Chavez-Demoulin, Valerie; McGill, James A. - In: Journal of banking & finance 36 (2012) 12, pp. 3415-3426
Persistent link: https://www.econbiz.de/10009660437