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Regime dependent determinants of credit default swap spreads
Credit default swap (CDS) spreads display pronounced regime specific behaviour. A Markov switching model of the determinants of changes in the iTraxx Europe indices demonstrates that they areExpand
Optimal hedging using cointegration
  • C. Alexander
  • Economics
  • Philosophical Transactions of the Royal Society…
  • 1 August 1999
Cointegration is a time-series modelling methodology that has many applications to financial markets. When spreads are mean reverting, prices are cointegrated. Then a multivariate model will provideExpand
Generalized beta-generated distributions
This article introduces generalized beta-generated (GBG) distributions. Sub-models include all classical beta-generated, Kumaraswamy-generated and exponentiated distributions. They are maximumExpand
Normal Mixture GARCH(1,1): Applications to Exchange Rate Modelling
Some recent specifications for GARCH error processes explicitly assume a conditional variance that is generated by a mixture of normal components, albeit with some parameter restrictions. This paperExpand
Seasonality and Cointegration of Regional House Prices in the UK
The data generation process underlying regional house prices in the UK is investigated using new statistical tests. It is found that causal flows tend to be northwards: the South East (rather thanExpand
Cointegration and market integration: An application to the Indonesian rice market
This article suggests improvements in the use of regression analysis to measure spatial market integration. The procedure pioneered by Ravallion is still widespread but is valid only under certainExpand
Practical financial econometrics
List of Figures. List of Tables. List of Examples. Foreword. Preface to Volume II. II.1 Factor Models. II.1.1 Introduction. II.1.2 Single Factor Models. II.13 Multi-Factor Models. II.1.4 Case Study:Expand
Developing a stress testing framework based on market risk models
The Basel 2 Accord requires regulatory capital to cover stress tests, yet no coherent and objective framework for stress testing portfolios exists. We propose a new methodology for stress testing inExpand
A Primer on the Orthogonal GARCH Model
The generation of large, positive semi-definite covariance matrices has presented a great challenge to finance practitioners for many years. Since the 1996 Amendment to the 1988 Basle accord, whereExpand
Operational Risk: Regulation, Analysis and Management
In recent years, supervisors and the banking industry have recognised the importance of operational risk. According to a recent survey, about 70% of banks consider operational risk as important asExpand