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The man in the middle-liquidity provision under central clearing in the credit default swap market : a regression discontinuity approach
Schönemann, Gregor - In: The journal of futures markets 42 (2022) 3, pp. 446-471
Persistent link: https://www.econbiz.de/10012817941
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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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Valuing retail credit tranches with structural, double mixture models
Bae, Taehan; Iscoe, Ian; Kim, Changki - In: The journal of futures markets 35 (2015) 9, pp. 849-867
Persistent link: https://www.econbiz.de/10011392664
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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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Probability weighting in commodity futures markets
Yuan, Jun; Xu, Qi; Wang, Ying - In: The journal of futures markets 43 (2023) 4, pp. 516-548
Persistent link: https://www.econbiz.de/10014293131
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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
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Forecasting high-yield equity and CDS index returns : does observed cross-market informational flow have predictive power?
Procasky, William J.; Yin, Anwen - In: The journal of futures markets 42 (2022) 8, pp. 1466-1490
Persistent link: https://www.econbiz.de/10013287989
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VAR without correlations for portfolios of derivative securities
Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les - In: The journal of futures markets 19 (1999) 5, pp. 583-602
Persistent link: https://www.econbiz.de/10001410433
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Hedging time-varying downside risk
Lien, Da-hsiang Donald - In: The journal of futures markets 18 (1998) 6, pp. 705-722
Persistent link: https://www.econbiz.de/10001249191