Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective

DOI10.1007/s10100-013-0330-7zbMath1339.91121OpenAlexW1976614693MaRDI QIDQ301208

Rosella Castellano, Luisa Scaccia

Publication date: 30 June 2016

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-013-0330-7

zbMATH Keywords

financial crisisMarkov switching modelcredit default swapsBayesian hierarchical modeling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40)

Related Items (3)

The state of financial modelling in 2012, as shaped by the GFC ⋮ PRICING SOVEREIGN CONTINGENT CONVERTIBLE DEBT ⋮ Multi-feature evaluation of financial contagion

Uses Software

• tsbridge

Cites Work

• Unnamed Item
• Unnamed Item
• Bayesian estimation of hidden Markov chains: A stochastic implementation
• Bayesian computation and stochastic systems. With comments and reply.
• Markov chains for exploring posterior distributions. (With discussion)
• Credit default swaps: implied ratings versus official ones
• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• A Markov Switching Re-evaluation of Event-Study Methodology
• Bayesian Methods for Hidden Markov Models

This page was built for publication: Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective