FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2597942472> ?p ?o ?g. }

• W2597942472 endingPage "59" @default.
• W2597942472 startingPage "48" @default.
• W2597942472 abstract "Investigating linkages between credit and equity markets, we consider daily aggregate U.S. CDS spreads as well as well-chosen equity market and implied volatility indexes over ten years. We describe such robust (to spurious correlation) relationship with the quantile cointegrating regression approach. Such approach handles extreme quantiles/CDS values and their behavior with respect to the equity market's influence. Heteroskedastic patterns such as time-varying variance, but also autocorrelation, skewness and leptokurtosis are captured. Thus, the sensitivity of aggregate CDS spreads to equity market price and volatility channels is accurately measured across quantiles and spreads. Such quantile-dependent sensitivity exhibits asymmetric responses to equity market shocks. A sub-period analysis investigates potential regime shifts in estimated quantile cointegrating regressions. Quantile cointegrating coefficients vary over time and quantiles, and exhibit different magnitudes across sub-periods and spreads. Therefore, the relationship is unstable over time. We also propose a scenario analysis and risk signaling application for credit risk management prospects. Under specific risk levels, credit risky situations are described conditional on the equity market's information over time, and related expected aggregate CDS spreads are computed. Estimated conditional quantiles/CDS spreads act as credit alert triggers." @default.
• W2597942472 created "2017-04-07" @default.
• W2597942472 creator A5055825532 @default.
• W2597942472 date "2017-08-01" @default.
• W2597942472 modified "2023-10-03" @default.
• W2597942472 title "Equity market information and credit risk signaling: A quantile cointegrating regression approach" @default.
• W2597942472 cites W1501835916 @default.
• W2597942472 cites W1511025337 @default.
• W2597942472 cites W1537584187 @default.
• W2597942472 cites W1761990930 @default.
• W2597942472 cites W1966017674 @default.
• W2597942472 cites W1986134211 @default.
• W2597942472 cites W1989292978 @default.
• W2597942472 cites W1989399889 @default.
• W2597942472 cites W1993921219 @default.
• W2597942472 cites W1994110039 @default.
• W2597942472 cites W1995474931 @default.
• W2597942472 cites W2004087808 @default.
• W2597942472 cites W2011021627 @default.
• W2597942472 cites W2013458455 @default.
• W2597942472 cites W2018808030 @default.
• W2597942472 cites W2019291268 @default.
• W2597942472 cites W2028198798 @default.
• W2597942472 cites W2028726096 @default.
• W2597942472 cites W2051333275 @default.
• W2597942472 cites W2061998345 @default.
• W2597942472 cites W2075754144 @default.
• W2597942472 cites W2098598435 @default.
• W2597942472 cites W2118711140 @default.
• W2597942472 cites W2122720395 @default.
• W2597942472 cites W2124556906 @default.
• W2597942472 cites W2127169188 @default.
• W2597942472 cites W2140489921 @default.
• W2597942472 cites W2150198708 @default.
• W2597942472 cites W2156548301 @default.
• W2597942472 cites W2164961494 @default.
• W2597942472 cites W2165714389 @default.
• W2597942472 cites W2167999854 @default.
• W2597942472 cites W2169476066 @default.
• W2597942472 cites W2175723180 @default.
• W2597942472 cites W2228348569 @default.
• W2597942472 cites W2237710142 @default.
• W2597942472 cites W2539434941 @default.
• W2597942472 cites W2606985126 @default.
• W2597942472 cites W3121328583 @default.
• W2597942472 cites W3122064234 @default.
• W2597942472 cites W3122762010 @default.
• W2597942472 cites W3123021411 @default.
• W2597942472 cites W3123118666 @default.
• W2597942472 cites W3123967823 @default.
• W2597942472 cites W3124063615 @default.
• W2597942472 cites W3125041188 @default.
• W2597942472 cites W3125164852 @default.
• W2597942472 cites W3125194786 @default.
• W2597942472 cites W3125328842 @default.
• W2597942472 cites W3125346872 @default.
• W2597942472 cites W3125577831 @default.
• W2597942472 cites W3125929260 @default.
• W2597942472 cites W4239754684 @default.
• W2597942472 cites W4376849348 @default.
• W2597942472 doi "https://doi.org/10.1016/j.econmod.2017.03.012" @default.
• W2597942472 hasPublicationYear "2017" @default.
• W2597942472 type Work @default.
• W2597942472 sameAs 2597942472 @default.
• W2597942472 citedByCount "5" @default.
• W2597942472 countsByYear W25979424722019 @default.
• W2597942472 countsByYear W25979424722020 @default.
• W2597942472 countsByYear W25979424722023 @default.
• W2597942472 crossrefType "journal-article" @default.
• W2597942472 hasAuthorship W2597942472A5055825532 @default.
• W2597942472 hasConcept C101104100 @default.
• W2597942472 hasConcept C105795698 @default.
• W2597942472 hasConcept C106159729 @default.
• W2597942472 hasConcept C118671147 @default.
• W2597942472 hasConcept C122342681 @default.
• W2597942472 hasConcept C149782125 @default.
• W2597942472 hasConcept C162324750 @default.
• W2597942472 hasConcept C17744445 @default.
• W2597942472 hasConcept C199539241 @default.
• W2597942472 hasConcept C199728807 @default.
• W2597942472 hasConcept C33923547 @default.
• W2597942472 hasConcept C63817138 @default.
• W2597942472 hasConcept C91602232 @default.
• W2597942472 hasConcept C97256817 @default.
• W2597942472 hasConceptScore W2597942472C101104100 @default.
• W2597942472 hasConceptScore W2597942472C105795698 @default.
• W2597942472 hasConceptScore W2597942472C106159729 @default.
• W2597942472 hasConceptScore W2597942472C118671147 @default.
• W2597942472 hasConceptScore W2597942472C122342681 @default.
• W2597942472 hasConceptScore W2597942472C149782125 @default.
• W2597942472 hasConceptScore W2597942472C162324750 @default.
• W2597942472 hasConceptScore W2597942472C17744445 @default.
• W2597942472 hasConceptScore W2597942472C199539241 @default.
• W2597942472 hasConceptScore W2597942472C199728807 @default.
• W2597942472 hasConceptScore W2597942472C33923547 @default.
• W2597942472 hasConceptScore W2597942472C63817138 @default.
• W2597942472 hasConceptScore W2597942472C91602232 @default.
• W2597942472 hasConceptScore W2597942472C97256817 @default.

• next