Narrow search
Showing 1 - 9 of 9
Cover Image
Sovereign credit default swaps and the currency forward bias
Calice, Giovanni; Lin, Ming-Tsung - In: Journal of international financial markets, … 86 (2023), pp. 1-25
Persistent link: https://www.econbiz.de/10014433385
Cover Image
Slow- and fast-moving information content of CDS spreads : new endogenous systematic factors
Lin, Ming-Tsung; Kolokolova, Olga; Poon, Ser-Huang - In: The European journal of finance 27 (2021) 1/2, pp. 136-157
Persistent link: https://www.econbiz.de/10012424932
Cover Image
Rating-based CDS curves
Kolokolova, Olga; Lin, Ming-Tsung; Poon, Ser-Huang - In: The European journal of finance 25 (2019) 7, pp. 689-723
Persistent link: https://www.econbiz.de/10012207024
Cover Image
Liquidity spillovers in sovereign bond and CDS markets : an analysis of the Eurozone sovereign debt crisis
Calice, Giovanni; Chen, Jing; Williams, Julian - In: Journal of economic behavior & organization : JEBO 85 (2013) 1, pp. 122-143
Persistent link: https://www.econbiz.de/10009708778
Cover Image
A Markov switching unobserved component analysis of the CDX index term premium
Calice, Giovanni; Ioannidis, Christos; Miao, Rong Hui - In: International review of financial analysis 44 (2016), pp. 189-204
Persistent link: https://www.econbiz.de/10011623992
Cover Image
Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps
Calice, Giovanni; Mio, RongHui; Štěrba, Filip; … - In: Journal of empirical finance 33 (2015), pp. 174-189
Persistent link: https://www.econbiz.de/10011556866
Cover Image
A Markov Switching Unobserved Component Analysis of the CDX Index Term Premium
Calice, Giovanni - 2011
Using a Markov switching unobserved component model we decompose the term premium of the North American CDX investment grade index (CDX-IG) into a permanent and a stationary component. We explain the evolution of the two components in relating them to monetary policy and stock market variables....
Persistent link: https://www.econbiz.de/10013128913
Cover Image
A Markov Switching Unobserved Component Analysis of the CDX Index Term Premium
Calice, Giovanni - 2010
Using a Markov switching unobserved component model we decompose the term premium of the North American CDX investment grade index (CDX-IG) into a permanent and a stationary component. We explain the evolution of the two components in relating them to monetary policy and stock market variables....
Persistent link: https://www.econbiz.de/10013142966
Cover Image
A Markov Switching Unobserved Component Analysis of the CDX Index Term Premium
Calice, Giovanni - 2012
Using a Markov switching unobserved component model we decompose the term premium of the North American CDX investment grade index (CDX-IG) into a permanent and a stationary component. We explain the evolution of the two components in relating them to monetary policy and stock market variables....
Persistent link: https://www.econbiz.de/10013115315