The determinants of CDS spreads: evidence from the model space
From MaRDI portal
Publication:1621637
DOI10.1007/s11147-017-9134-6zbMath1404.62110OpenAlexW2743997203MaRDI QIDQ1621637
Johannes Vilsmeier, Matthias Pelster
Publication date: 9 November 2018
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/148050
Bayesian model averagingtail dependenceCDScredit default swapstail riskcrash aversiontime-varying copulas
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Model Confidence Set
- Complete subset regressions
- Estimation of copula-based semiparametric time series models
- Bayesian model averaging and exchange rate forecasts
- Handbook of economic forecasting. Volume 1
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Nonparametric risk management and implied risk aversion
- Estimating the tail-dependence coefficient: properties and pitfalls
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- The t Copula and Related Copulas
- Copula–Based Models for Financial Time Series
- Biases in Dynamic Models with Fixed Effects
- Regressions by Leaps and Bounds
- A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
- Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
- Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
- Bayesian Model Averaging for Linear Regression Models
- Bayesian Model Averaging in Proportional Hazard Models: Assessing the Risk of a Stroke
- Model Selection and Multimodel Inference
- Is Tail Risk Priced in Credit Default Swap Premia?
- Empirical properties of asset returns: stylized facts and statistical issues
- Bayes Factors
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Bayesian Graphical Models for Discrete Data
- Regularization and Variable Selection Via the Elastic Net
- Least Squares Model Averaging
- Ridge Regression: Biased Estimation for Nonorthogonal Problems
- Efficient Estimation of Semiparametric Multivariate Copula Models
- On Information and Sufficiency
- Remarks on a Multivariate Transformation
- Benchmark priors for Bayesian model averaging.
- Tests of equal forecast accuracy and encompassing for nested models
