✦ LIBER ✦

Dependence structure between the credit default swap return and the kurtosis of the equity return distribution: Evidence from Japan

✍ Scribed by Yi-Hsuan Chen; Anthony H. Tu; Kehluh Wang

Book ID: 116575264
Publisher: Elsevier Science
Year: 2008
Tongue: English
Weight: 293 KB
Volume: 18
Category: Article
ISSN: 1042-4431
DOI: 10.1016/j.intfin.2006.10.004

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Empirical evidence on the dependence of

Empirical evidence on the dependence of credit default swaps and equity prices

✍ Debbie Dupuis; Eric Jacquier; Nicolas Papageorgiou; Bruno Rémillard 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 460 KB

## Abstract We investigate the common practice of estimating the dependence structure between credit default swap prices on multi‐name credit instruments from the dependence structure of the equity returns of the underlying firms. We find convincing evidence that the practice is inappropriate for h

Modeling the dependence structure betwee

Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis

✍ Nader Naifar 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 857 KB

Nonlinear Pricing Kernels, Kurtosis Pref

Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns

✍ Robert F. Dittmar 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 406 KB

Linear and non-linear transmission of eq

Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

✍ Chris Brooks; Ólan T. Henry 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 218 KB

Transmission of Stock Returns and Volati

Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets

✍ Ming-Shiun Pan; L. Paul Hsueh 📂 Article 📅 1998 🏛 Springer 🌐 English ⚖ 85 KB

MAGNA CARTAThe Great CharterPreamble

📂 Fiction 🌐 English ⚖ 11 KB 👁 18 views