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pro vyhledávání: '"Ana Gonzalez-Urteaga"'
This paper analyzes the magnitude (accuracy) and length (time) of the lag in the incorporation of new information in different measures of credit risk. The results, for US firms, show a lag for Altman’s Z accounting measure and credit rating. In co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aa8594040d798843f321f4f416bfd75e
https://hdl.handle.net/2454/42980
https://hdl.handle.net/2454/42980
Publikováno v:
Mathematics, Vol 9, Iss 11, p 1201 (2021)
This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices. This estimation is performed using a vector autoregressive
Externí odkaz:
https://doaj.org/article/95aaae9dd1db4607a2afcbdcfdacd55b
Autor:
Laura Ballester, Ana González-Urteaga
Publikováno v:
Mathematics, Vol 8, Iss 10, p 1667 (2020)
This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over the period 2004–2016. We
Externí odkaz:
https://doaj.org/article/a2ae325ebef64d979446ce93e912fd71