Is Tail Risk Priced in Credit Default Swap Premia?
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References listed on IDEAS
- Sylvain Benoit & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2013. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers halshs-00746272, HAL.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
- Dong Hwan Oh & Andrew J. Patton, 2013. "Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads," Working Papers 13-30, Duke University, Department of Economics.
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- repec:eee:intfor:v:33:y:2017:i:4:p:958-969 is not listed on IDEAS
- Polanski, Arnold & Stoja, Evarist, 2017. "Forecasting multidimensional tail risk at short and long horizons," Bank of England working papers 660, Bank of England.
- Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Determinants of CDS trading on major banks," Working Papers Dissertations 51, Paderborn University, Faculty of Business Administration and Economics.
- repec:eee:ememar:v:34:y:2018:i:c:p:98-110 is not listed on IDEAS
- repec:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9134-6 is not listed on IDEAS
- repec:eee:ejores:v:269:y:2018:i:3:p:1137-1153 is not listed on IDEAS
- Mardi Dungey & John Harvey & Pierre Siklos & Vladimir Volkov, 2017.
"Signed spillover effects building on historical decompositions,"
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2017-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Dungey, Mardi & Harvey, John & Siklos, Pierre & Volkov, Vladimir, 2017. "Signed spillover effects building on historical decompositions," Working Papers 2017-11, University of Tasmania, Tasmanian School of Business and Economics.
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