The leverage effect puzzle: the case of European sovereign credit default swap market (Q345723): Difference between revisions

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+credit default swap
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+emerging markets
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+leverage effect
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+Generalized autoregressive conditional heteroscedasticity
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+BUGS for a Bayesian analysis of stochastic volatility models
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+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
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+Prospect Theory: An Analysis of Decision under Risk
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+Advances in prospect theory: cumulative representation of uncertainty
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+Liquidity and CDS premiums on European companies around the subprime crisis
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+MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
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+On leverage in a stochastic volatility model
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