A first-passage-time model under regime-switching market environment
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Campbell, John Y. & Hentschel, Ludger, 1992.
"No news is good news *1: An asymmetric model of changing volatility in stock returns,"
Journal of Financial Economics,
Elsevier, vol. 31(3), pages 281-318, June.
- John Y. Campbell & Ludger Hentschel, 1991. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," NBER Working Papers 3742, National Bureau of Economic Research, Inc.
- Hentschel, Ludger & Campbell, John, 1992. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," Scholarly Articles 3220232, Harvard University Department of Economics.
- Andrew Ang & Geert Bekaert, 2002. "International Asset Allocation With Regime Shifts," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1137-1187.
- Campbell, John Y, 1991. "A Variance Decomposition for Stock Returns," Economic Journal, Royal Economic Society, vol. 101(405), pages 157-179, March.
- Schwert, G William, 1989.
" Why Does Stock Market Volatility Change over Time?,"
Journal of Finance,
American Finance Association, vol. 44(5), pages 1115-1153, December.
- G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
- Longstaff, Francis A & Schwartz, Eduardo S, 1995. " A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance,
American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Zhou, Chunsheng, 2001. "An Analysis of Default Correlations and Multiple Defaults," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 555-576.
- So, Mike K P & Lam, K & Li, W K, 1998. "A Stochastic Volatility Model with Markov Switching," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 244-253, April.
- Lucas, Andre & Klaassen, Pieter, 2006.
"Discrete versus continuous state switching models for portfolio credit risk,"
Journal of Banking & Finance,
Elsevier, vol. 30(1), pages 23-35, January.
- André Lucas & Pieter Klaassen, 2003. "Discrete versus Continuous State Switching Models for Portfolio Credit Risk," Tinbergen Institute Discussion Papers 03-075/2, Tinbergen Institute, revised 30 Sep 2003.
- Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-367, May.
- Lewellen, Jonathan, 2004. "Predicting returns with financial ratios," Journal of Financial Economics, Elsevier, vol. 74(2), pages 209-235, November.
- Bollen, Nicolas P. B. & Gray, Stephen F. & Whaley, Robert E., 2000. "Regime switching in foreign exchange rates: Evidence from currency option prices," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 239-276.
- Bong-Gyu Jang & Hyeng Keun Koo & Hong Liu & Mark Loewenstein, 2007. "Liquidity Premia and Transaction Costs," Journal of Finance, American Finance Association, vol. 62(5), pages 2329-2366, October.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Avino, Davide & Nneji, Ogonna, 2014.
"Are CDS spreads predictable? An analysis of linear and non-linear forecasting models,"
International Review of Financial Analysis,
Elsevier, vol. 34(C), pages 262-274.
- Avino, Davide & Nneji, Ogonna, 2012. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," MPRA Paper 42848, University Library of Munich, Germany.
- González-Hermosillo, Brenda & Johnson, Christian, 2017.
"Transmission of financial stress in Europe: The pivotal role of Italy and Spain, but not Greece,"
Journal of Economics and Business,
Elsevier, vol. 90(C), pages 49-64.
- Brenda Gonzalez-Hermosillo & Christian A Johnson, 2014. "Transmission of Financial Stress in Europe; The Pivotal Role of Italy and Spain, but not Greece," IMF Working Papers 14/76, International Monetary Fund.
- Eun, Cheol S. & Lee, Jinsoo, 2010. "Mean-variance convergence around the world," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 856-870, April.
- repec:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9139-1 is not listed on IDEAS
- Chevallier, Julien, 2012. "Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis," Economic Modelling, Elsevier, vol. 29(3), pages 943-973.
- Seung-Yeal Ha & Kyoung-Kuk Kim & Kiseop Lee, 2015. "A mathematical model for multi-name credit based on community flocking," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 841-851, May.
- Jang, Bong-Gyu & Rhee, Yuna & Yoon, Ji Hee, 2016. "Business cycle and credit risk modeling with jump risks," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 15-36.
More about this item
KeywordsFirst-passage-time model Regime-switching model Default probability Default correlation Credit default swap;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:32:y:2008:i:12:p:2617-2627. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jbf .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.