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Credit constraints, equity market liberalizations and international trade
Credit constraints equity market liberalizations
2015/7/21
This paper provides evidence that credit constraints are an important determinant of
international trade flows. I exploit shocks to the availability of external finance and examine
the i...
Assessing Credit Quality from the Equity Market: Can a Structural Approach Forecast Credit Ratings?
Credit rating default probability distance-to-default structural credit risk model Cote de crédit
2011/8/22
We investigate the empirical performance of default probability prediction based on Merton's (1974) structural credit risk model. More specifically, we study if distance-to-default is a sufficient sta...
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
Statistical identification hidden Markov models splitting strategies equity market
2010/10/19
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify an...
Statistical Regularities of Equity Market Activity
Statistical Regularities Equity Market Activity
2010/11/3
Equity activity is an essential topic for financial market studies. To explore its statistical reg-ularities, we comprehensively examine the trading value, a measure of the equity activity, of the 331...