Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Siem Jan Koopman"'
Publikováno v:
Journal of Empirical Finance, 16, 42-54. Elsevier
Koopman, S J, Kraeussl, R G W, Lucas, A & Monteiro, A 2009, ' Credit cycles and macro fundamentals ', Journal of Empirical Finance, vol. 16, pp. 42-54 . https://doi.org/10.1016/j.jempfin.2008.07.002
Koopman, S J, Kraeussl, R G W, Lucas, A & Monteiro, A 2009, ' Credit cycles and macro fundamentals ', Journal of Empirical Finance, vol. 16, pp. 42-54 . https://doi.org/10.1016/j.jempfin.2008.07.002
We use an intensity-based framework to study the relation between macroeconomic fundamentals and cycles in defaults and rating activity. Using Standard and Poor's U.S. corporate rating transition and default data over the period 1980-2005, we directl
Publikováno v:
Koopman, S J, Jungbacker, B M J P & Hol, E 2005, ' Forecasting daily variability of the S &P 100 stock index using historical, realised and implied volatility measurements ', Journal of Empirical Finance, vol. 12, no. 3, pp. 445-475 . https://doi.org/10.1016/j.jempfin.2004.04.009
Journal of Empirical Finance, 12(3), 445-475. Elsevier
Journal of Empirical Finance, 12(3), 445-475. Elsevier
The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility for