Exploring Mispricing in the Term Structure of CDS Spreads
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Cited by:
- Almeida, Thiago Ramos, 2024. "Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility," Research in International Business and Finance, Elsevier, vol. 70(PA).
- Realdon, Marco, 2024. "The efficiency of the Estr overnight index swap market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- Erdinc Akyildirim & Ahmet Goncu & Alper Hekimoglu & Duc Khuong Nguyen & Ahmet Sensoy, 2023.
"Statistical arbitrage: factor investing approach,"
OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(4), pages 1295-1331, December.
- Akyildirim, Erdinc & Goncu, Ahmet & Hekimoglu, Alper & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021. "Statistical arbitrage: Factor investing approach," MPRA Paper 105766, University Library of Munich, Germany.
- Erdinc Akyildirim & Ahmet Goncu & Alper Hekimoglu & Duc Khuong Nguyen & Ahmet Sensoy, 2021. "Statistical Arbitrage: Factor Investing Approach," Working Papers 2021-003, Department of Research, Ipag Business School.
- Hu, May & Park, Jason & Chen, Jane & Verhoevenc, Peter, 2022. "Cross-market informed trading in the CDS and option markets," Global Finance Journal, Elsevier, vol. 54(C).
- Hu, May & Narayan, Paresh & Park, Jason & Verhoeven, Peter, 2022. "Informed trading in the CDS and OTM put option markets," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 353-367.
- Hu, May & Tuilautala, Mataiasi & Yang, Jingjing & Zhong, Qian, 2022. "Asymmetric information and inside management trading in the Chinese market," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Manuel Ammann & Mathis Mörke, 2019. "Credit Variance Risk Premiums," Working Papers on Finance 1908, University of St. Gallen, School of Finance.
- Murphy, Austin & Headley, Adrian, 2022. "An empirical evaluation of alternative fundamental models of credit spreads," International Review of Financial Analysis, Elsevier, vol. 81(C).
- Kato, Kensuke & Nakamura, Nobuhiro, 2023. "Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 612(C).
- Ye, Xiaoxia & Yu, Fan & Zhao, Ran, 2022. "Credit derivatives and corporate default prediction," Journal of Banking & Finance, Elsevier, vol. 138(C).
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Keywords
Credit default swaps; Mispricing; Statistical arbitrage; Affine models; Market-neutral strategy; Hedge funds;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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