1 resultado para accounting-based valuation models
em University of Connecticut - USA
Filtro por publicador
- Aberystwyth University Repository - Reino Unido (6)
- Academic Archive On-line (Karlstad University; Sweden) (1)
- Academic Research Repository at Institute of Developing Economies (3)
- AMS Tesi di Dottorato - Alm@DL - Università di Bologna (6)
- AMS Tesi di Laurea - Alm@DL - Università di Bologna (3)
- Aquatic Commons (4)
- ArchiMeD - Elektronische Publikationen der Universität Mainz - Alemanha (3)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (6)
- Aston University Research Archive (25)
- Avian Conservation and Ecology - Eletronic Cientific Hournal - Écologie et conservation des oiseaux: (1)
- B-Digital - Universidade Fernando Pessoa - Portugal (1)
- Biblioteca de Teses e Dissertações da USP (1)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (8)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP) (5)
- Biblioteca Digital de Teses e Dissertações Eletrônicas da UERJ (1)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (41)
- Brock University, Canada (3)
- Bucknell University Digital Commons - Pensilvania - USA (2)
- Bulgarian Digital Mathematics Library at IMI-BAS (6)
- Cambridge University Engineering Department Publications Database (31)
- CentAUR: Central Archive University of Reading - UK (48)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (8)
- Coffee Science - Universidade Federal de Lavras (2)
- Collection Of Biostatistics Research Archive (3)
- Comissão Econômica para a América Latina e o Caribe (CEPAL) (4)
- CORA - Cork Open Research Archive - University College Cork - Ireland (3)
- Corvinus Research Archive - The institutional repository for the Corvinus University of Budapest (3)
- Dalarna University College Electronic Archive (4)
- Deakin Research Online - Australia (64)
- Department of Computer Science E-Repository - King's College London, Strand, London (1)
- Digital Commons - Michigan Tech (3)
- Digital Commons @ Center for the Blue Economy - Middlebury Institute of International Studies at Monterey (1)
- Digital Commons @ DU | University of Denver Research (1)
- Digital Commons at Florida International University (12)
- Digital Peer Publishing (2)
- DigitalCommons@University of Nebraska - Lincoln (1)
- Doria (National Library of Finland DSpace Services) - National Library of Finland, Finland (1)
- Duke University (1)
- Düsseldorfer Dokumenten- und Publikationsservice (1)
- Ecology and Society (1)
- eResearch Archive - Queensland Department of Agriculture; Fisheries and Forestry (5)
- Greenwich Academic Literature Archive - UK (17)
- Helda - Digital Repository of University of Helsinki (12)
- Illinois Digital Environment for Access to Learning and Scholarship Repository (2)
- Indian Institute of Science - Bangalore - Índia (22)
- Instituto Nacional de Saúde de Portugal (1)
- Instituto Politécnico de Bragança (1)
- Instituto Politécnico de Viseu (3)
- Instituto Politécnico do Porto, Portugal (3)
- Lume - Repositório Digital da Universidade Federal do Rio Grande do Sul (1)
- Massachusetts Institute of Technology (5)
- Memoria Académica - FaHCE, UNLP - Argentina (3)
- Ministerio de Cultura, Spain (1)
- National Center for Biotechnology Information - NCBI (2)
- Nottingham eTheses (3)
- Open University Netherlands (1)
- Plymouth Marine Science Electronic Archive (PlyMSEA) (4)
- Portal de Revistas Científicas Complutenses - Espanha (1)
- Publishing Network for Geoscientific & Environmental Data (9)
- QSpace: Queen's University - Canada (1)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (57)
- Queensland University of Technology - ePrints Archive (285)
- RCAAP - Repositório Científico de Acesso Aberto de Portugal (1)
- Repositório Científico da Universidade de Évora - Portugal (1)
- Repositório Científico do Instituto Politécnico de Lisboa - Portugal (1)
- Repositório digital da Fundação Getúlio Vargas - FGV (8)
- Repositório Digital da UNIVERSIDADE DA MADEIRA - Portugal (3)
- Repositório Institucional da Universidade de Aveiro - Portugal (1)
- Repositorio Institucional de la Universidad de Almería (1)
- Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho" (13)
- RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal (2)
- SAPIENTIA - Universidade do Algarve - Portugal (4)
- The Scholarly Commons | School of Hotel Administration; Cornell University Research (5)
- Universidad de Alicante (6)
- Universidad del Rosario, Colombia (4)
- Universidad Politécnica de Madrid (30)
- Universidade de Lisboa - Repositório Aberto (1)
- Universidade de Madeira (1)
- Universidade Federal do Pará (2)
- Universidade Federal do Rio Grande do Norte (UFRN) (6)
- Universidade Metodista de São Paulo (2)
- Universidade Técnica de Lisboa (1)
- Universita di Parma (1)
- Universitat de Girona, Spain (3)
- Universitätsbibliothek Kassel, Universität Kassel, Germany (2)
- Université de Lausanne, Switzerland (1)
- Université de Montréal (2)
- Université de Montréal, Canada (21)
- University of Connecticut - USA (1)
- University of Michigan (5)
- University of Queensland eSpace - Australia (25)
- University of Washington (3)
- WestminsterResearch - UK (1)
- Worcester Research and Publications - Worcester Research and Publications - UK (1)
Resumo:
In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since financial data does not follow a normal distribution because of its heavy tails, modeling the data using a Generalized Linear model (GLM) incorporating copulas emerge as a more robust technique over traditional approaches. This paper also includes an empirical analysis of the regime switching dynamics of credit risk in the presence of liquidity by following the general practice of assuming that credit and market risk follow a Markov process. The study was based on Credit Default Swap data obtained from Bloomberg that spanned the period January 1st 2004 to August 08th 2006. The empirical examination of the regime switching tendencies provided quantitative support to the anecdotal view that liquidity decreases as credit quality deteriorates. The analysis also examined the joint probability distribution of the credit risk determinants across credit quality through the use of a copula function which disaggregates the behavior embedded in the marginal gamma distributions, so as to isolate the level of dependence which is captured in the copula function. The results suggest that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the centerpiece of linear regression models.