Informed trading, heterogeneity investment, liquidity shocks and the valuation of credit default swaps
Author:
Publisher
Springer Science and Business Media LLC
Subject
Multidisciplinary
Link
http://link.springer.com/content/pdf/10.1007/s12204-016-1701-8.pdf
Reference18 articles.
1. BONGAERTS D, JONG F D, DRIESSEN J. Derivative pricing with liquidity risk: Theory and evidence from credit default swap market [J]. Journal of Finance, 2011, 66(1): 203–240.
2. ACHARYAV V, PEDERSEN L H. Asset pricing with liquidity risk [J]. Journal of Financial Economics, 2005, 77(2): 375–410.
3. HASBROUCK J. Measuring the information content of stock trades [J]. Journal of Finance, 1991, 46(1): 179–207.
4. CAMERON A C, TRIVEDI P K. Microeconometrics methods and applications [M]. New York: Cambridge University Press, 2005.
5. PIRES P, PEREIRA J P, MARTINS L F. The complete picture of credit default swap spreads: A quantile regression approach [EB/OL]. [2010–07-13]. http://papers.ssrn.com/sol3/papers.cfm?abstractid=1125265.
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