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  • 1-10 ل  11 نتائج ل ""de Peretti, Christian""

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Collection : Hal Lyon 1 (University Claude Bernard Lyon 1) فلترة بواسطة : مؤلف
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Book

On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market

Subjects: DCC-class models; Multivariate diagnostic tests; Time-varying correlation

  • Source: Financial and Economic Systems ; https://hal.science/hal-01710398 ; Financial and Economic Systems, WORLD SCIENTIFIC (EUROPE), pp.187-212, 2022, ⟨10.1142/9781786349507_0008⟩

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Academic Journal

Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches

Subjects: [QFIN]Quantitative Finance [q-fin]

  • Source: ISSN: 0301-4207.

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Academic Journal

Dynamics and causality in distribution between spot and future precious metals: A copula approach

Subjects: [SHS]Humanities and Social Sciences

  • Source: ISSN: 0301-4207.

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Academic Journal

The role of political patronage in the risk-taking behaviour of banks in the Middle East and North Africa

Subjects: [SHS]Humanities and Social Sciences

  • Source: ISSN: 0275-5319 ; Research in International Business and Finance ; https://hal.science/hal-03489757 ; Research in International Business and Finance, 2020, 53, pp.101184 -.

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Academic Journal

Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach

Subjects: [SHS]Humanities and Social Sciences

  • Source: ISSN: 0275-5319 ; Research in International Business and Finance ; https://hal.science/hal-03484603 ; Research in International Business and Finance, 2019, 50, pp.106 - 133.

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Academic Journal

On the Informational Market Efficiency of the Worldwide Sovereign Credit Default Swap

Subjects: Market Efficiency; Worldwide Sovereign CDS; VECM-FIGARCH

  • Source: ISSN: 1470-8272.

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Academic Journal

Nonlinearities in the oil fluctuation effects on the sovereign credit risk: A Self-Exciting Threshold Autoregression approach

Subjects: Oil market; FIAPARCH; SETAR

  • Source: ISSN: 0275-5319 ; Research in International Business and Finance ; https://hal.science/hal-01698012 ; Research in International Business and Finance, 2019, 50, pp.106-133.

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Academic Journal

International risk spillover in the sovereign credit markets: An empirical analysis

Subjects: Sovereign CDS and bond markets; Dynamic Conditional Correlation; Bayesian cointegrated

  • Source: ISSN: 0307-4358 ; Managerial Finance ; https://hal.science/hal-01652526 ; Managerial Finance, 2019, 45 (8), pp.1020-1040. ⟨10.1108/MF-11-2017-0490⟩.

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Report

Is the role of precious metals as precious as they are? Revisiting the role of precious metals for the G-7 stock markets: A multivariate vine copula and BiVaR approaches.

Subjects: Bivariate VaR JEL classification: C02; BiVaR; stock markets

  • Source: https://hal.science/hal-01664146 ; 2020.

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Academic Journal

Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier

Subjects: Downside risk; Kernel method; Mean nonparametric estimation

  • Source: ISSN: 0254-5330.

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  • 1-10 ل  11 نتائج ل ""de Peretti, Christian""