Outputs (5)

Fundamentals, real-time uncertainty and CDS index spreads (2023)
Journal Article

The high level of economic uncertainty linked to the pace of the recovery process can persist after a crisis and has implications for the market pricing of firms’ credit risk reflected in credit default swap (CDS) spreads. This paper examines the rol... Read More about Fundamentals, real-time uncertainty and CDS index spreads.

On the predictability of emerging market sovereign credit spreads (2018)
Journal Article

This paper examines the quarter-ahead out-of-sample predictability of Brazil, Mexico, the Philippines and Turkey credit spreads before and after the Lehman Brothers’ default. A model based on the country-specific credit spread curve factors predicts... Read More about On the predictability of emerging market sovereign credit spreads.

On the Prediction of Emerging Market Sovereign Credit Spreads (2015)
Journal Article

This paper examines the quarter-ahead out-of-sample predictability of Brazil, Mexico, the Philippines and Turkey credit spreads before and after the Lehman Brothers' default. A model based on the country-specific credit spread curve factors predicts... Read More about On the Prediction of Emerging Market Sovereign Credit Spreads.

Emerging Market Sovereign Credit Spreads: In-Sample and Out-of-Sample Predictability (2015)
Journal Article

This paper investigates the quarter-ahead predictability of Brazil, Mexico, Philippines and Turkey credit spreads for short and long maturity bonds during two separate periods preceding and following the Lehman Brothers' default. A model based on the... Read More about Emerging Market Sovereign Credit Spreads: In-Sample and Out-of-Sample Predictability.

How to get the most from a business intelligence application during the post implementation phase? Deep structure transformation at a UK retail bank (2015)
Journal Article

This paper focuses on the process of maximizing the benefits from a business intelligence (BI) application. A general theoretical framework of analysis is formulated based on previous research into organizational deep structure and inertia. Our frame... Read More about How to get the most from a business intelligence application during the post implementation phase? Deep structure transformation at a UK retail bank.