SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
An Empirical Comparison of Alternative Credit Default Swap Pricing Models
16 references·1 citing·39 second hop
An Empirical Comparison of Alternative Credit Default Swap Pricing Models (2012)An Empirical Comparison of Alternative Cr…Housing Market Spillovers: Evidence from an Estimated DSGE Model (2010)Housing Market Spillovers: Ev…Credit and Banking in a DSGE Model of the Euro Area (2010)Credit and Banking in a DSGE …Innovation and productivity in SMEs: empirical evidence for Italy (2009)Innovation and productivity i…Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Default and Recovery Implicit…Bank profitability and the business cycle (2008)Bank profitability and the bu…The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)The relationship between cred…Lévy Processes in Finance (2003)Lévy Processes in FinanceFinancial Modelling with Jump Processes (2003)Financial Modelling with Jump…Affine processes and applications in finance (2003)Affine processes and applicat…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…The variation of certain speculative prices (1997)The variation of certain spec…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…A Dynamic Default Dependence Model (2013)A Dynamic Default Dependence …The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Estimating quadratic variation using realized variance (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Stochastic Integration and Differential Equations (2005)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The role of bank capital in the propagation of shocks (2009)Disentangling demand and supply in credit developments: A survey-based analysis for Italy (2011)The Interaction between Capital Requirements and Monetary Policy (2014)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Housing Finance and Monetary Policy (2009)Asset‐based measurement of poverty (2010)Service Regulation and Growth: Evidence from OECD Countries (2011)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2010Housing Market Spillovers: Evidence from an Estimated DSGE Model1,500 cited
  • 2010Credit and Banking in a DSGE Model of the Euro Area1,252 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,008 cited
  • 2009Innovation and productivity in SMEs: empirical evidence for Italy860 cited
  • 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
  • 2008Bank profitability and the business cycle801 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2003Lévy Processes in Finance793 cited
  • Cited by

    • 2013A Dynamic Default Dependence Model24 cited