Davide E. Avino

University of Liverpool

Chatham Street

Liverpool, L69 7ZA

United Kingdom

Financial Mathematics and Computation Cluster

Visiting Research Fellow

Dublin

Ireland

  • University of Liverpool

SCHOLARLY PAPERS

9

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1,309

CITATIONS
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8

Scholarly Papers (9)

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1.

Sovereign and Bank CDS Spreads: Two Sides of the Same Coin?

Journal of International Financial Markets, Institutions and Money, Vol. 32, pp. 72-85, 2014
Number of pages: 24 Posted: 22 Jun 2013 Last Revised: 07 Mar 2019
Davide E. Avino and John Cotter
University of Liverpool and University College Dublin
Downloads 276 (108,881)
Citation 2

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Credit default swap spreads, price discovery, information flow, financial crisis, banks, sovereign risk, bank capital, contingent capital

2.

Rethinking Capital Structure Arbitrage: A Price Discovery Perspective

Journal of Alternative Investments, Forthcoming
Number of pages: 29 Posted: 02 Jun 2012 Last Revised: 25 May 2019
Davide E. Avino and Emese Lazar
University of Liverpool and University of Reading - ICMA Centre
Downloads 274 (109,751)
Citation 1

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credit spreads, price discovery, credit derivatives, information flow, convergence trading, financial crisis, limit of arbitrage

3.

Price Discovery of Credit Spreads in Tranquil and Crisis Periods

International Review of Financial Analysis, Vol. 30, pp. 242-253, 2013
Number of pages: 30 Posted: 12 Jul 2011 Last Revised: 07 Mar 2019
Davide E. Avino, Emese Lazar and Simone Varotto
University of Liverpool, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 180 (165,105)
Citation 4

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credit spreads, price discovery, volatility spillovers, credit and equity derivatives, information flow

4.

Credit Default Swaps as Indicators of Bank Financial Distress

Journal of International Money and Finance, Vol. 94, pp. 132-139, 2019
Number of pages: 41 Posted: 06 Dec 2015 Last Revised: 14 Apr 2019
Davide E. Avino, Thomas Conlon and John Cotter
University of Liverpool, University College Dublin and University College Dublin
Downloads 172 (171,900)

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Bank Failure, Market Discipline, Credit Default Swap, CDS

5.

Are CDS Spreads Predictable? An Analysis of Linear and Non-Linear Forecasting Models

International Review of Financial Analysis, Vol. 34, pp. 262-274, 2014
Number of pages: 34 Posted: 23 Nov 2012 Last Revised: 07 Mar 2019
Davide E. Avino and Ogonna Nneji
University of Liverpool and University of Reading - ICMA Centre
Downloads 153 (189,939)

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Credit default swap spreads, iTraxx, Forecasting, Markov switching, Market efficiency, Technical trading rules

6.

Time Varying Price Discovery

Economics Letters, Vol. 126, pp. 18-21, 2015
Number of pages: 9 Posted: 11 Sep 2014 Last Revised: 07 Mar 2019
Davide E. Avino, Emese Lazar and Simone Varotto
University of Liverpool, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 112 (242,061)

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credit spreads, price discovery, multivariate GARCH

7.

Contingent Claims and Hedging of Credit Risk with Equity Options

Number of pages: 47 Posted: 24 May 2018
Davide E. Avino and Enrique Salvador
University of Liverpool and Universitat Jaume I - Department of Finance and Accounting
Downloads 65 (338,342)

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Credit Risk, Contingent Claims, Hedging, CDS, Options

8.

The Predictive Power of the Dividend Risk Premium

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 65 Posted: 11 May 2019
Davide E. Avino, Andrei Stancu and Chardin Wese Simen
University of Liverpool, University of East Anglia (UEA) - Norwich Business School and University of Reading - ICMA Centre
Downloads 57 (361,214)

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Dividend risk premium, dividend strip, predictability, present value model

9.

Does CDS Trading Affect Risk-Taking Incentives in Managerial Compensation?

Journal of Banking and Finance, Forthcoming
Number of pages: 47 Posted: 08 Jan 2019
Jie Chen, Woon Sau Leung, Wei Song and Davide E. Avino
Leeds University Business School, University of Leeds, University of Edinburgh - Edinburgh Business School, Swansea University - School of Management and University of Liverpool
Downloads 20 (515,138)
Citation 1

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Credit Default Swaps; Executive Compensation; Risk Taking; Leverage