The role of the leverage effect in the price discovery process of credit markets

DOI10.1016/j.jedc.2020.104033zbMath1475.91385OpenAlexW3104183135MaRDI QIDQ2246685

Paul Zimmermann

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2020.104033

zbMATH Keywords

leverage effectco-integrationprice discoverycredit marketscapital structure arbitrage

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Default and information
• Statistical analysis of cointegration vectors
• An Integrated Model for Hybrid Securities
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Equivalent Black volatilities
• Is Tail Risk Priced in Credit Default Swap Premia?
• Choosing between methods of combining $p$-values
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

This page was built for publication: The role of the leverage effect in the price discovery process of credit markets