We show how multivariate GARCH models can be used to generate a time-varying “information share” (Hasbrouck, 1995) to represent the changing patterns of price discovery in closely related securities. We find that time-varying information shares can improve credit spread predictions
We investigate the cointegration between VIX and CDS indices, and the possibility of exploiting it i...
The normality of multi-asset returns in event time is shown empirically. A multivariate subordinatio...
We study the market for credit default swaps (CDS) between 2003 and 2008 in order to understand orig...
We show how time-varying measures of price discovery can be generated using GARCH models. In an appl...
Credit spreads can be derived from the prices of securities traded in different markets. In this pap...
Credit spreads can be derived from the prices of securities traded in different markets. In this pap...
We formulate a continuous-time price discovery model and investigate how the standard price discover...
We examine price discovery in the Credit Default Swap and cor- porate bond market. By using a Markov...
This paper looks at the dynamic price relationship between spreads in the corporate bond market and ...
In this paper we investigate the price discovery process in single-name credit spreads obtained from...
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spread...
Measuring the contribution of different markets to the price discovery process of a common asset has...
This thesis focuses on an empirical analysis of credit spreads from three different perspectives. Th...
This paper proposes a structural time-series model for the intraday price dynamics on fragmented fin...
This paper seeks to identify the macroeconomic and financial factors that drive credit spreads on bo...
We investigate the cointegration between VIX and CDS indices, and the possibility of exploiting it i...
The normality of multi-asset returns in event time is shown empirically. A multivariate subordinatio...
We study the market for credit default swaps (CDS) between 2003 and 2008 in order to understand orig...
We show how time-varying measures of price discovery can be generated using GARCH models. In an appl...
Credit spreads can be derived from the prices of securities traded in different markets. In this pap...
Credit spreads can be derived from the prices of securities traded in different markets. In this pap...
We formulate a continuous-time price discovery model and investigate how the standard price discover...
We examine price discovery in the Credit Default Swap and cor- porate bond market. By using a Markov...
This paper looks at the dynamic price relationship between spreads in the corporate bond market and ...
In this paper we investigate the price discovery process in single-name credit spreads obtained from...
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spread...
Measuring the contribution of different markets to the price discovery process of a common asset has...
This thesis focuses on an empirical analysis of credit spreads from three different perspectives. Th...
This paper proposes a structural time-series model for the intraday price dynamics on fragmented fin...
This paper seeks to identify the macroeconomic and financial factors that drive credit spreads on bo...
We investigate the cointegration between VIX and CDS indices, and the possibility of exploiting it i...
The normality of multi-asset returns in event time is shown empirically. A multivariate subordinatio...
We study the market for credit default swaps (CDS) between 2003 and 2008 in order to understand orig...
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