Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10010255704
Persistent link: https://www.econbiz.de/10011684726
Most extant structural credit risk models underestimate credit spreads while matching default rates, recoveries, leverage, and equity risk premia - a shortcoming known as the credit spread puzzle. We calibrate and estimate a model able to explain medium to long-term credit spreads by...
Persistent link: https://www.econbiz.de/10011721554
Persistent link: https://www.econbiz.de/10012039789
This paper examines the joint time series of the S&P500 index and its options with a two-factor Hawkes jump-diffusion model that captures jump propagation (i.e., the phenomenon in which the strike of one jump substantially raises the probability for more to follow). The propagation effect...
Persistent link: https://www.econbiz.de/10012953236