The Determinants of Credit Default Swap Premia
By Jan Ericsson, Kris Jacobs, Rodolfo A. Oviedo. Journal of Financial and Quantitative Analysis, 2009
733 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/345cf27af0170ee5f4274afb5766432bd8c50bab
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Citations in the corpus
- Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2008, unknown): “Third, there is a debate on whether corporate bond and equity (option) markets are integrated (Collin-Dufresne, Goldstein, and Martin (2001), Cremers et al. (2005) and Ericsson, Jacobs, and Oviedo (2005)).”
- Policy uncertainty and corporate credit spreads (2020, unknown): “Since the highest frequency for accounting data is quarterly, we compute a monthly market leverage ratio by dividing total debt (short- plus long-term debt, as of quarter-end) by average firm value, where the equity portion is updated daily (as in Ericsson et al. (2009)). Instead of using the intere”
- Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options (2007, unknown): “…and Martin (2001), Aunon-Nerin, Cossin, Hricko, and Huang (2002), Bangi , Diebold, Kronimus, Schagen, and Schuermann (2002), Altman, Brady, Resti, and Sironi (2004), Bakshi, Madan, and Zhang (2004), Ericsson, Jacobs, and Oviedo-Helfenberger (2004), Carr and Wu (2005), and Wu and Zhang (2005).”
- The Determinants of CDS Spreads (2014, methodology): “Since the data obtained from COMPUSTAT are quarterly, we use a linear interpolation (as in Collin-Dufresne et al. 2001 and Ericsson et al. 2009) for estimating monthly leverage to fill the gaps.”
- A New Anomaly: The Cross-Sectional Profitability of Technical Analysis (2013, methodology): “Recent studies, such as Brock, Lakonishok, and LeBaron (1992) and Lo, Mamaysky, and Wang (2000), however, find strong evidence of profitability when using technical analysis, primarily of using a moving average scheme, to forecast the market.”
- Decomposing European CDS Returns (2010, background): “market in Dichev (1998), Griffin and Lemmon (2002), Vassalou and Xing (2004), Garlappi et al. (2006), Campbell et al.”