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Hedging international bond portfolios : evidence from a European perspective

Annaert, Jan - In: Revue de la banque 60 (1996) 7, pp. 434-443

Persistent link: https://www.econbiz.de/10001209223

What determines euro area bank CDS spreads?

Annaert, Jan; De Ceuster, Marc; Van Roy, Patrick; … - 2010

This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...

Persistent link: https://www.econbiz.de/10011506710

Is financial market volatility informative to predict recessions?

Valckx, Nico; De Ceuster, Marc J.; Annaert, Jan - 2002

Persistent link: https://www.econbiz.de/10001719799

Financial market volatility : informative in predicting recessions

Annaert, Jan; De Ceuster, Marc J.; Valckx, Nico - 2001

Persistent link: https://www.econbiz.de/10001600327

What determines euro area bank CDS spreads?

Annaert, Jan; De Ceuster, Marc J.; Van Roy, Patrick; … - 2010

Persistent link: https://www.econbiz.de/10003964386

Are extreme returns priced in the stock market? : European evidence

Annaert, Jan; De Ceuster, Marc J.; Verstegen, Kurt - 2012

Persistent link: https://www.econbiz.de/10009669593

What determines Euro area bank CDS spreads?

Annaert, Jan; De Ceuster, Marc J.; Van Roy, Patrick; … - In: Journal of international money and finance 32 (2013), pp. 444-461

Persistent link: https://www.econbiz.de/10009732854

Can average skewness really predict financial returns? : the euro area case

Annaert, Jan; De Ceuster, Marc J.; Cappellen, Jef van - In: Finance research letters 52 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014472219

What determines euro area bank CDS spreads?

Annaert, Jan; De Ceuster, Marc J.; Van Roy, Patrick; … - 2010

Persistent link: https://www.econbiz.de/10011596544

Is Financial Market Volatility Informative to Predict Recessions?

Valckx, Nico; de Ceuster, Marc J. K.; Annaert, Jan - 2003

It is commonly agreed that the term spread and stock returns are useful in predicting recessions. We investigate whether interest rate and stock market volatility play an additional role as recession indicators. Both risk-return analysis and the theory of investment under uncertainty provide a...

Persistent link: https://www.econbiz.de/10014076057