We show how time-varying measures of price discovery can be generated using GARCH models. In an application to credit spreads obtained from related securities, we show that time-varying price discovery measures improve the forecastability of spreads
This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default...
This paper proposes two new Credit Default Swap (CDS) endogenous systematic factors constructed from...
This article examines temporal aspects of the price discover process in the (fragmented) Standard & ...
We show how multivariate GARCH models can be used to generate a time-varying “information share” (Ha...
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 examine price discovery in the Credit Default Swap and cor- porate bond market. By using a Markov...
This thesis focuses on an empirical analysis of credit spreads from three different perspectives. Th...
In this paper we investigate the price discovery process in single-name credit spreads obtained from...
This paper looks at the dynamic price relationship between spreads in the corporate bond market and ...
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spread...
We perform an in-depth investigation of the price discovery between sovereign and bank CDS spreads a...
I propose an estimation strategy for the stochastic time-varying risk premium parameter in the conte...
This paper seeks to identify the macroeconomic and financial factors that drive credit spreads on bo...
We formulate a continuous-time price discovery model and investigate how the standard price discover...
This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default...
This paper proposes two new Credit Default Swap (CDS) endogenous systematic factors constructed from...
This article examines temporal aspects of the price discover process in the (fragmented) Standard & ...
We show how multivariate GARCH models can be used to generate a time-varying “information share” (Ha...
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 examine price discovery in the Credit Default Swap and cor- porate bond market. By using a Markov...
This thesis focuses on an empirical analysis of credit spreads from three different perspectives. Th...
In this paper we investigate the price discovery process in single-name credit spreads obtained from...
This paper looks at the dynamic price relationship between spreads in the corporate bond market and ...
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spread...
We perform an in-depth investigation of the price discovery between sovereign and bank CDS spreads a...
I propose an estimation strategy for the stochastic time-varying risk premium parameter in the conte...
This paper seeks to identify the macroeconomic and financial factors that drive credit spreads on bo...
We formulate a continuous-time price discovery model and investigate how the standard price discover...
This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default...
This paper proposes two new Credit Default Swap (CDS) endogenous systematic factors constructed from...
This article examines temporal aspects of the price discover process in the (fragmented) Standard & ...
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