Modelling credit spreads with time volatility, skewness, and kurtosis

DOI10.1007/S10479-015-1975-5zbMath1416.91388OpenAlexW1818810405WikidataQ59409294 ScholiaQ59409294MaRDI QIDQ1615804

Selima Baccar, Ephraim Clark

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-1975-5

zbMATH Keywords

kurtosisskewnesscredit spreadsStudent-\(t\) distributionasymmetric GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (3)

Option implied ambiguity and its information content: evidence from the subprime crisis ⋮ Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ Mildly explosive dynamics in U.S. fixed income markets

Cites Work

• The Pricing of Options and Corporate Liabilities
• Are the GARCH models best in out-of-sample performance!
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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