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Option-Implied Information and Predictability of Extreme Returns
(2013-01-28)
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market ...
Mutual Excitation in Eurozone Sovereign CDS
(2014-05-01)
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features ...
Commodities, Financialization, and Heterogeneous Agents
(2016-04-28)
The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for ...
Liquidity Premia in CDS Markets
(2017-07-14)
We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it ...
CBOE
Cboe Global Markets, Inc. (Cboe) is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors
CMA
Credit Market Analysis (CMA) is a data and information company specializing in OTC derivatives markets. In July 2012, the company became part of the S&P Capital IQ division of McGraw-Hill
Quandl
Designed for professionals, Quandl delivers financial, economic and alternative data to over 400,000 people worldwide. Quandl offers essential financial and economic data alongside a suite of unique, alpha-generating ...