Equity market information and credit risk signaling: A quantile cointegrating regression approach
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DOI: 10.1016/j.econmod.2017.03.012
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- Hayette Gatfaoui, 2017. "Equity market information and credit risk signaling: A quantile cointegrating regression approach," Post-Print hal-01745285, HAL.
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More about this item
Keywords
C32; C58; D81; CDS; Cointegration; Credit risk; Fat tail; Implied volatility; Market risk; Quantile regression; Regime shifts; Risk management; Risk signal; Skewness;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
Statistics
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