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

DOI10.1007/S10100-013-0330-7MaRDI QIDQ301208zbMATH OpenOpenAlexFDO

Authors 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

credit default swapsBayesian hierarchical modelingfinancial crisisMarkov switching model

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1085980 (Why is no real title available?)
• scientific article; zbMATH DE number 947416 (Why is no real title available?)
• A Markov switching re-evaluation of event-study methodology
• Bayesian Methods for Hidden Markov Models
• Bayesian computation and stochastic systems. With comments and reply.
• Bayesian estimation of hidden Markov chains: A stochastic implementation
• Credit default swaps: implied ratings versus official ones
• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• Markov chains for exploring posterior distributions. (With discussion)

Cited in

(6)

• Multi-feature evaluation of financial contagion
• The state of financial modelling in 2012, as shaped by the GFC
• Empirical analysis of structural change in credit default swap volatility
• A Markov switching re-evaluation of event-study methodology
• Pricing sovereign contingent convertible debt
• CDS volatility: the key signal of credit quality

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Uses Software

• tsbridge

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