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The Complete Picture of Credit Default Swap Spreads - A Quantile Regression Approach
16 references·2 citing·37 second hop
The Complete Picture of Credit Default Swap Spreads - A Quantile Regression Approach (2008)The Complete Picture of Credit Default Sw…Econometric Analysis of Panel Data (2021)Econometric Analysis of Panel…How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)How Much of the Corporate-Tre…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Bootstrap-Based Improvements for Inference with Clustered Errors (2008)Bootstrap-Based Improvements …Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…CAViaR (2004)CAViaREquity Volatility and Corporate Bond Yields (2003)Equity Volatility and Corpora…Cluster-Sample Methods in Applied Econometrics (2003)Cluster-Sample Methods in App…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Reviewing the ecological footprints of Africa top carbon consumer: a quantile on quantile analysis (2022)Reviewing the ecological foot…Credit default swap spreads: market conditions, firm performance, and the impact of the 2007–2009 financial crisis (2020)Credit default swap spreads: …Econometric Models for Count Data with an Application to the Patents-R&D Relationship (1984)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Theory of the Term Structure of Interest Rates (1985)Default Risk in Equity Returns (2004)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)Teacher training, teacher quality and student achievement (2010)Does Management Matter? Evidence from India (2011)Robust Inference With Multiway Clustering (2011)Assessing the Incidence and Efficiency of a Prominent Place Based Policy (2013)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Credit Spreads and Business Cycle Fluctuations (2012)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Policy Uncertainty and Corporate Investment (2015)
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References

  • 2021Econometric Analysis of Panel Data15,089 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2008Bootstrap-Based Improvements for Inference with Clustered Errors4,311 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,383 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2004CAViaR2,210 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 2003Cluster-Sample Methods in Applied Econometrics1,219 cited
  • 2003Equity Volatility and Corporate Bond Yields1,194 cited

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2012
How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?
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Cited by

  • 2022Reviewing the ecological footprints of Africa top carbon consumer: a quantile on quantile analysis61 cited
  • 2020Credit default swap spreads: market conditions, firm performance, and the impact of the 2007–2009 financial crisis22 cited