CDS-term-structure anomalies across time
Term Structure Anomalies: Term Premium or Peso problem?
... a time varying term premium or the peso-problem for rejec- tion of the ...a term structure model that allows for both phenomena ...a time varying term ...the time varying ...
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Exploring Mispricing in the Term Structure of CDS Spreads
... out-of-sample time series of the capital growth, which is the cumulative capital gain, ∑ t/ i=1 ∆t CG a i∆t , over time for the 10 ...out-of-sample time series of the capital gains, CG a t , over ...
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"Peso problem" explanations for term structure anomalies
... of time spent in the various regimes differs from these unconditional ...of time spent in each regime for each of the seven ...much time in regime 2 and too little time in regime 3, compared ...
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Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives
... the CDS market not only provides a vehicle for participants to hedge and speculate on the default risks of corporate and sovereign entities, it also reveals important market-implied default-risk information ...
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Arbitrage opportunities in CDS term structure: theory and implications for OTC derivatives
... the CDS market not only provides a vehicle for participants to hedge and speculate on the default risks of corporate and sovereign entities, it also reveals important market-implied default-risk information ...
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Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
... Credit risk models should re ect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral ...
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The term structure of interest rates across frequencies
... the term structure of interest rates in US data, using spectral techniques that allow us to consider different frequency ...varies across frequency bands as a consequence of the conduct of monetary ...
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Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices
... We apply the concepts of mutual information and information flows and we built directed graphs to investigate empirically the propagation of price fluctuations across a futures term structure. We ...
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Stock Return Anomalies, Industry Risk and Capital Structure
... on these firms are thus reflections of their higher business risk. Similarly, firms with lower business risk face lower long-term cost of debt. They thus optimally choose to have more long-term debt. The ...
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Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach
... model across dierent countries in a multi-maturity term structure, where we rst estimate ination expectation by modelling the nominal and ination-indexed bond yields jointly for each ...the ...
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The Term Structure of Expectations
... the term structure of expectations for three key macroeconomic variables in the ...expectations across a range of forecast ...correlation structure across variables and time ...
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The Structure of Climate Variability Across Scales
... second time series we present the Central England Temperature (CET) (Parker et ...1992) time series for the period ...mean time series overlayed by an 11-year running mean and the nonlinearly ...
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The Structure of Climate Variability Across Scales
... 3. Time series with scaling and non-scaling behavior. a) A time series with scaling behavior (Long- term persistence parameter ...the time period between 400 and 600 time units of ...
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Term structure and real-time learning
... ting sticky nominal wages à la Calvo (1983). Households rent capital to firms and decide how much capital to accumulate depending on the capital adjustment costs they face. Moreover, households also determine the degree ...
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Quadratic Term Structure Models in Discrete Time
... discrete time setting also o¤ers advantages over the continuous time ...over time. The discrete time setting provides much ‡exibility in specifying the market price of risk while the factors ...
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VOLATILITY TRANSMISSION ACROSS THE TERM STRUCTURE OF SWAP MARKETS: INTERNATIONAL EVIDENCE
... We started by estimating a term structure of interest rates by the bootstrapping method, using data from two markets: short-term interest rates 1-, 3-, 6- and 12-month maturities were ob[r] ...
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Time-Varying Volatility and the Dynamic Behavior of the Term Structure
... We investigate: (1) whether or not the model can generate plausible shapes for the yield curve, (2) the relationship between the level of volatility in the bill market and the position a[r] ...
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Mercury anomalies across the Palaeocene–Eocene Thermal Maximum
... Hg anomalies throughout the latest Palaeocene and early Eocene, with the largest Hg/TOC anomalies occurring prior to the onset of the CIE and at the start of the recovery ...Hg/TOC anomalies with ...
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The rational expectations hypothesis of the term structure, monetary policy, and time-varying term premia
... Term Premia Michael Dotsey and Christopher Otrok M ost empirical studies of the rational expectations hypothesis of the term structure (REHTS) generally find that the data offer little sup- port for ...
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Utilizing Variability of Time and Term Content, within and across Users in Session Detection
... {sqsun, ymy, tjzhao}@mtlab.hit.edu.cn, [email protected] [email protected] Abstract In this paper, we describe a SVM classi- fication framework of session detection task on both Chinese and English query logs. With ...
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