JEL Classification C22
"Univariate: Time-Series Models"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the C22 classification. (sorted by date) Are CDS Spreads Predictable? An analysis of linear and non-linear forecasting models
by Davide Avino of University of Reading, and
Ogonna Nneji of University of Reading
(501K PDF) -- 25 pages -- November 23, 2012 Volatility, Correlation and Tails for Systemic Risk Measurement
by Christian T. Brownlees of the New York University, and
Robert Engle of the New York University
(1,069K PDF) -- 37 pages -- June 2011 Ebnöther, Silvan, Paolo Vanini, "Credit Portfolios: What defines risk horizons and risk measurement?", Journal of Banking & Finance, Vol. 31, No. 12, (December 2007), pp. 3663-3679. Are Credit Default Swap Spreads Market Driven
by Hayette Gatfaoui of Groupe ESC Rouen
(378K PDF) -- 8 pages -- July 2007 Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
by Jin-Chuan Duan of the National University of Singapore & the University of Toronto, and
Andras Fulop of ESSEC Business School, France
(225K PDF) -- 30 pages -- July 2007 Lucas, André, Pieter Klaassen, "Discrete versus Continuous State Switching Models for Portfolio Credit Risk", Journal of Banking & Finance, Vol. 30, No. 1, (January 2006), pp. 23-35. On the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Models
by Jin-Chuan Duan of the University of Toronto,
Geneviève Gauthier of HEC, and
Jean-Guy Simonato of HEC
(256K PDF) -- 22 pages -- June 15, 2005 Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration
by Jin-Chuan Duan of the University of Toronto
Geneviève Gauthier of HEC (Montreal)
Jean-Guy Simonato of HEC (Montreal)
Sophia Zaanoun of HEC (Montreal)
(333K PDF) -- 25 pages -- May 10, 2005 Determants of Euro Term Structure of Credit Spreads
by Astrid Van Landschoot of National Bank of Belgium & Ghent University
(1,204K PDF) -- 58 pages -- October 2004 Identifying Threshold Effects in Credit Risk Stress Testing
by J. Giancarlo Gasha of the International Monetary Fund, and
R. Armando Morales of the International Monetary Fund
(297K PDF) -- 18 pages -- August 2004 Estimating Merton's Model by Maximum Likelihood with Survivorship Consideration
by Jin-Chuan Duan of the University of Toronto
Geneviève Gauthier of HEC (Montreal)
Jean-Guy Simonato of HEC (Montreal)
Sophia Zaanoun of HEC (Montreal)
(391K PDF) -- 25 pages -- October 2003 An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects
by Herman Bierens of Pennsylvania State University, and
Jing-zhi Huang of Pennsylvania State University & New York University
(422K PDF) -- 42 pages -- April 8, 2003 An Empirical Investigation in Credit Spread Indices
by Jean-Luc Prigent of the Université de Cergy-Pontoise,
Olivier Renault of the London School of Economics, and
Olivier Scaillet of the Université Catholique de Louvain
(869K PDF) -- 36 pages -- February 2001
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