Inferring Default Correlation from Equity Return Correlation

E-ISSN： 1468-036x|21|2|333-359

ISSN： 1354-7798

Source： EUROPEAN FINANCIAL MANAGEMENT, Vol.21, Iss.2, 2015-03, pp. : 333-359

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

The Price of Correlation Risk: Evidence from Equity Options

THE JOURNAL OF FINANCE, Vol. 22-1082, Iss. 3, 2009-06 ,pp. : 1377-1406

John Wiley & Sons Inc

Access to resources Recommend Favorite

The Price of Correlation Risk: Evidence from Equity Options

THE JOURNAL OF FINANCE, Vol. 64, Iss. 3, 2009-06 ,pp. : 1377-1406

John Wiley & Sons Inc

Access to resources Recommend Favorite

Default correlation at the sovereign level: evidence from some Latin American markets

By Chen Yi-Hsuan Wang Kehluh Tu Anthony

Applied Economics, Vol. 43, Iss. 11, 2011-04 ,pp. : 1399-1411

Routledge Ltd

Access to resources Recommend Favorite

Equity-Bond Returns Correlation and the Bond Yield: Evidence of Switching Behaviour from the G7 Markets

Credit and Capital Markets – Kredit und Kapital, Vol. 49, Iss. 3, 2016-09 ,pp. : 415-444

Duncker & Humblot

Access to resources Recommend Favorite

Optimal bank interest margin and default risk in equity returns under the return to domestic retail with structural breaks

By Tsai Jeng-Yan Lin Jyh-Horng

Applied Economics, Vol. 45, Iss. 6, 2013-02 ,pp. : 753-764

Routledge Ltd

Access to resources Recommend Favorite