Matches in SemOpenAlex for { <https://semopenalex.org/work/W2045397894> ?p ?o ?g. }
- W2045397894 endingPage "3144" @default.
- W2045397894 startingPage "3125" @default.
- W2045397894 abstract "Traditional quantitative credit risk models assume that changes in credit spreads are normally distributed but empirical evidence shows that they are likely to be skewed, fat-tailed, and change behaviour over time. Not taking into account such characteristics can compromise calculation of loss probabilities, pricing of credit derivatives, and profitability of trading strategies. Therefore, the aim of this study is to investigate the dynamics of higher moments of changes in credit spreads of European corporate bond indexes using extensions of GARCH type models that allow for time-varying volatility, skewness and kurtosis of changes in credit spreads as well as a regime-switching GARCH model which allows for regime shifts in the volatility of changes in credit spreads. Performance evaluation methods are used to assess which model captures the dynamics of observed distribution of the changes in credit spreads, produces superior volatility forecasts and Value-at-Risk estimates, and yields profitable trading strategies. The results presented can have significant implications for risk management, trading activities, and pricing of credit derivatives." @default.
- W2045397894 created "2016-06-24" @default.
- W2045397894 creator A5046788146 @default.
- W2045397894 creator A5079485681 @default.
- W2045397894 date "2013-08-01" @default.
- W2045397894 modified "2023-10-03" @default.
- W2045397894 title "Dynamics of credit spread moments of European corporate bond indexes" @default.
- W2045397894 cites W1552275899 @default.
- W2045397894 cites W1576326745 @default.
- W2045397894 cites W1627289996 @default.
- W2045397894 cites W1977970167 @default.
- W2045397894 cites W1979575715 @default.
- W2045397894 cites W1982004495 @default.
- W2045397894 cites W1985030584 @default.
- W2045397894 cites W1998463204 @default.
- W2045397894 cites W1998491684 @default.
- W2045397894 cites W1999814123 @default.
- W2045397894 cites W2004886530 @default.
- W2045397894 cites W2005432509 @default.
- W2045397894 cites W2006567485 @default.
- W2045397894 cites W2011886674 @default.
- W2045397894 cites W2012242451 @default.
- W2045397894 cites W2020464522 @default.
- W2045397894 cites W2030704696 @default.
- W2045397894 cites W2041411559 @default.
- W2045397894 cites W2050826253 @default.
- W2045397894 cites W2054484691 @default.
- W2045397894 cites W2061160212 @default.
- W2045397894 cites W2069317099 @default.
- W2045397894 cites W2073241381 @default.
- W2045397894 cites W2077791698 @default.
- W2045397894 cites W2079615115 @default.
- W2045397894 cites W2081996656 @default.
- W2045397894 cites W2092073755 @default.
- W2045397894 cites W2100935590 @default.
- W2045397894 cites W2111514894 @default.
- W2045397894 cites W2115319160 @default.
- W2045397894 cites W2126800696 @default.
- W2045397894 cites W2132072990 @default.
- W2045397894 cites W2151594242 @default.
- W2045397894 cites W2153955954 @default.
- W2045397894 cites W2154882576 @default.
- W2045397894 cites W2157895285 @default.
- W2045397894 cites W2163600634 @default.
- W2045397894 cites W2290931291 @default.
- W2045397894 cites W2568334807 @default.
- W2045397894 cites W3023478198 @default.
- W2045397894 cites W3122265940 @default.
- W2045397894 cites W3122384970 @default.
- W2045397894 cites W3122403692 @default.
- W2045397894 cites W3123016320 @default.
- W2045397894 cites W3123118666 @default.
- W2045397894 cites W3123686478 @default.
- W2045397894 cites W3124570132 @default.
- W2045397894 cites W4246950982 @default.
- W2045397894 cites W47906050 @default.
- W2045397894 doi "https://doi.org/10.1016/j.jbankfin.2013.02.030" @default.
- W2045397894 hasPublicationYear "2013" @default.
- W2045397894 type Work @default.
- W2045397894 sameAs 2045397894 @default.
- W2045397894 citedByCount "11" @default.
- W2045397894 countsByYear W20453978942014 @default.
- W2045397894 countsByYear W20453978942015 @default.
- W2045397894 countsByYear W20453978942016 @default.
- W2045397894 countsByYear W20453978942019 @default.
- W2045397894 countsByYear W20453978942020 @default.
- W2045397894 countsByYear W20453978942021 @default.
- W2045397894 countsByYear W20453978942022 @default.
- W2045397894 crossrefType "journal-article" @default.
- W2045397894 hasAuthorship W2045397894A5046788146 @default.
- W2045397894 hasAuthorship W2045397894A5079485681 @default.
- W2045397894 hasConcept C10138342 @default.
- W2045397894 hasConcept C105795698 @default.
- W2045397894 hasConcept C106159729 @default.
- W2045397894 hasConcept C122342681 @default.
- W2045397894 hasConcept C129361004 @default.
- W2045397894 hasConcept C149782125 @default.
- W2045397894 hasConcept C162118730 @default.
- W2045397894 hasConcept C162324750 @default.
- W2045397894 hasConcept C165029466 @default.
- W2045397894 hasConcept C166963901 @default.
- W2045397894 hasConcept C178350159 @default.
- W2045397894 hasConcept C24308983 @default.
- W2045397894 hasConcept C26457952 @default.
- W2045397894 hasConcept C2780999293 @default.
- W2045397894 hasConcept C33923547 @default.
- W2045397894 hasConcept C69738904 @default.
- W2045397894 hasConcept C89997419 @default.
- W2045397894 hasConcept C91602232 @default.
- W2045397894 hasConceptScore W2045397894C10138342 @default.
- W2045397894 hasConceptScore W2045397894C105795698 @default.
- W2045397894 hasConceptScore W2045397894C106159729 @default.
- W2045397894 hasConceptScore W2045397894C122342681 @default.
- W2045397894 hasConceptScore W2045397894C129361004 @default.
- W2045397894 hasConceptScore W2045397894C149782125 @default.
- W2045397894 hasConceptScore W2045397894C162118730 @default.
- W2045397894 hasConceptScore W2045397894C162324750 @default.
- W2045397894 hasConceptScore W2045397894C165029466 @default.