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STOCHASTIC FILTERING WITH APPLICATIONS IN FINANCE:. (2010). Bhar, Ramaprasad.
In: World Scientific Books.
RePEc:wsi:wsbook:7736.

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  1. Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models. (2018). Fabozzi, Frank ; Rachev, Svetlozar T ; Bianchi, Michele Leonardo.
    In: Computational Economics.
    RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9599-7.

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  2. Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads. (2015). Fabozzi, Frank ; Bianchi, Michele.
    In: Computational Economics.
    RePEc:kap:compec:v:46:y:2015:i:2:p:243-273.

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  3. Calibrating the Italian smile with time-varying volatility and heavy-tailed models. (2014). Fabozzi, Frank ; Rachev, Svetlozar T. ; Bianchi, Michele Leonardo.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_944_14.

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  4. A jump diffusion model for spot electricity prices and market price of risk. (2013). Colwell, David B. ; Xiao, Yuewen ; Bhar, Ramaprasad.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:15:p:3213-3222.

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    RePEc:eee:riibaf:v:50:y:2019:i:c:p:106-133.

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  10. Asymmetric and nonlinear dynamics in sovereign credit risk markets. (2018). Benefield, Parker ; Ngene, Geoffrey M ; Lynch, Allen K.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:38:y:2018:i:5:p:563-585.

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  12. Examination of the Relationship between Turkey’s Credit Default Swap (CDS) Points and Unemployment. (2016). Ahn, Cumhur ; Altay, Huseyin .
    In: Eurasian Business & Economics Journal.
    RePEc:eas:buseco:v:4:y:2016:i:4:p:52-67.

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  13. Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets. (2015). Hertrich, Markus.
    In: MPRA Paper.
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  14. The Behavior Comparison between Mean Reversion and Jump Diffusion of CDS Spread. (2015). Kim, Hong-Bae ; Park, Tae-Jun .
    In: Eurasian Journal of Economics and Finance.
    RePEc:ejn:ejefjr:v:3:y:2015:i:4:p:8-21.

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  16. The Analysts’ Forecast of IPO Firms during the Global Financial Crisis. (2013). Hsu, Chang-Yi ; Wen, Shiow-Ying ; Yu, Jean.
    In: International Journal of Economics and Financial Issues.
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  17. Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis. (2012). Naifar, Nader.
    In: Economic Modelling.
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  18. Boom-bust cycles, imbalances and discipline in Europe. (2012). Molina Sánchez, Luis ; del Río, Pedro ; Alberola, Enrique ; del Rio, Pedro.
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  19. Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions. (2011). Belke, Ansgar ; Gokus, Christian .
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  20. What explains default risk premium during the financial crisis? Evidence from Japan. (2011). Naifar, Nader.
    In: Journal of Economics and Business.
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  21. CDS: relación con índices accionarios y medida de riesgo. (2011). Mora-Valencia, Andrés ; Leon, Bernardo .
    In: Revista ESPE - ENSAYOS SOBRE POLÍTICA ECONÓMICA.
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  22. The Local Determinants Of Emerging Market Sovereign Cds Spreads In The Context Of The Debt Crisis. An Explanatory Study . (2011). Anton, Sorin.
    In: Analele Stiintifice ale Universitatii Alexandru Ioan Cuza din Iasi - Stiinte Economice.
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  23. STOCHASTIC FILTERING WITH APPLICATIONS IN FINANCE:. (2010). Bhar, Ramaprasad.
    In: World Scientific Books.
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  24. 2008 SEC short selling ban: impacts on the credit default swap market. (2010). Courtney, Samuel .
    In: MPRA Paper.
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  25. 2008 SEC short selling ban: impacts on the credit default swap market. (2010). Courtney, Samuel .
    In: MPRA Paper.
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  26. Investigating the dependence structure between credit default swap spreads and the U.S. financial market. (2010). Gatfaoui, Hayette.
    In: Annals of Finance.
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  27. The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions. (2010). Podpiera, Jiri ; Ötker-Robe, Inci ; Otker, Inci.
    In: IMF Working Papers.
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  28. An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil. (2010). Guazzarotti, Giovanni ; Di Cesare, Antonio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_749_10.

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  29. La récente crise financière internationale cause t-elle la crise des marchés des swaps sur défaut de crédit?. (2008). Naifar, Nader.
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  30. The Credit Default Swap Markets Reaction to Earnings Announcements. (2008). Greatrex, Caitlin Ann.
    In: Fordham Economics Discussion Paper Series.
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  31. The Credit Default Swap Markets Determinants. (2008). Greatrex, Caitlin Ann.
    In: Fordham Economics Discussion Paper Series.
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  32. Dependence structure between the credit default swap return and the kurtosis of the equity return distribution: Evidence from Japan. (2008). Tu, Anthony H. ; Chen, Yi-Hsuan ; Wang, Kehluh.
    In: Journal of International Financial Markets, Institutions and Money.
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  33. Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect. (2007). Dunbar, Kwamie ; Edwards, Albert J..
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  34. Copula based simulation procedures for pricing basket Credit Derivatives. (2007). Naifar, Nader ; Fathi, Abid ; Nader, Naifar.
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  35. Price Calibration of basket default swap: Evidence from Japanese market. (2007). Naifar, Nader ; Fathi, Abid ; Nader, Naifar.
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  36. A copula test space model: How to avoid the wrong copula choice. (2007). De Schepper, Ann ; Michiels F., .
    In: Working Papers.
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