Results 181 to 190 of about 24,543 (234)
QF-LCA dataset: Quantum Field Lens Coding Algorithm for system state simulation and strong predictions. [PDF]
Data BriefAlipour PB, Gulliver TA.
europepmc +1 more source
Investigating the effect of cognitive load on the intentionality bias. [PDF]
Psychol ResEisenkoeck AE, de Fockert JW, Moore JW.
europepmc +1 more source
Pricing and integration of credit default swap index tranches
Journal of Futures Markets, 2019 AbstractThis paper first designs an efficient procedure to value Credit Default Swap Index tranches using an intensity‐based model. The tranche spreads are effectively explained by a three‐factor version of this model, both before and during the financial crisis of 2008.
Andrew Carverhill, Dan Luo
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Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
Journal of Empirical Finance, 2009 Abstract In this paper, we provide two one-factor heavy-tailed copula models for pricing a collateralized debt obligation and credit default index swap tranches: (1) a one-factor double t distribution with fractional degrees of freedom copula model and (2) a one-factor double mixture distribution of t and Gaussian distribution copula model.
Wang, D., Rachev, S. T., Fabozzi, F. J.
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An index of European loan credit default swaps: iTraxx LevX
Law and Financial Markets Review, 2008 The Markit iTraxx LevX indices are based on terms published by the International Swaps and Derivatives Association and intended to enable market participants to hedge or assume systemic risks more efficiently. Designed for the European leveraged loan market often characterised by insufficient information, these indices use a continuity procedure in ...
Justin Conway, Julia Lu Fu
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A joint analysis of market indexes in credit default swap, volatility and stock markets
Applied Economics, 2015 ABSTRACTThis paper analyses the joint dynamics of the CDS, volatility and stock markets using both VAR and Markov regime-switching VAR models with market index data. It shows that the joint behaviour of the three markets is better characterized by the Markov model with two regimes corresponding to low- and high-volatile market conditions.
José Da Fonseca, Peiming Wang
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Volatility spillovers and connectedness among credit default swap sector indexes
Applied Economics, 2018 This article studies volatility spill-over effects and market connectedness using daily data of credit default swap spreads for U.S. companies over a period from 2007 to 2012.
José Da Fonseca, Katja Ignatieva
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Asymmetric convergence in US financial credit default swap sector index markets
The Quarterly Review of Economics and Finance, 2011 Abstract This study examines the asymmetric adjustments to the long-run equilibrium for credit default swap (CDS) sector indexes of three financial sectors – banking, financial services and insurance – in the presence of a threshold effect. The results of the momentum-threshold autoregression (M-TAR) models demonstrate that asymmetric cointegration ...
Li-Hsueh Chen +2 more
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Back to the future: Futures margins in a future credit default swap index futures market
Journal of Futures Markets, 2006 AbstractThe introduction of exchange‐traded credit default swap (CDS) index futures is eminent and this development in the credit market is the subject of this article. A theoretically appealing and practically implementable approach to computing accurate futures margins based on extreme value theory is suggested.
Hans Byström
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Does Asian Credit Default Swap Index Improve Portfolio Performance?
, 2016 This study aims to find whether adding Asian Credit Default Swap (CDS) index will improve the portfolio performance. We introduce a new approach namely Markov switching copula approach to estimate the dependence between asset returns and evaluated the risks of the portfolio by using Value at Risk and Expected Shortfall.
Chatchai Khiewngamdee +2 more
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