Davide E. Avino

University of Liverpool

Chatham Street

Brownlow Hill

Liverpool, L69 7ZA

United Kingdom

Financial Mathematics and Computation Cluster

Visiting Research Fellow

Dublin

Ireland

SCHOLARLY PAPERS

10

DOWNLOADS

1,684

SSRN CITATIONS
Rank 39,043

SSRN RANKINGS

Top 39,043

in Total Papers Citations

21

CROSSREF CITATIONS

3

Scholarly Papers (10)

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 LiverpoolFinancial Mathematics and Computation Cluster and University College Dublin
Downloads 312 (179,480)
Citation 2

Abstract:

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

2.

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 LiverpoolFinancial Mathematics and Computation Cluster, University College Dublin and University College Dublin
Downloads 282 (199,539)
Citation 7

Abstract:

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Bank Failure, Market Discipline, Credit Default Swap, CDS

3.

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 LiverpoolFinancial Mathematics and Computation Cluster and University of Reading - ICMA Centre
Downloads 228 (246,129)

Abstract:

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

4.

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 LiverpoolFinancial Mathematics and Computation Cluster, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 213 (262,408)
Citation 1

Abstract:

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

5.

Contingent Claims and Hedging of Credit Risk with Equity Options

Number of pages: 95 Posted: 24 May 2018 Last Revised: 08 Jan 2024
Davide E. Avino and Enrique Salvador
University of LiverpoolFinancial Mathematics and Computation Cluster and Universitat Jaume I - Department of Finance and Accounting
Downloads 201 (277,957)
Citation 1

Abstract:

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Credit Risk, Contingent Claims, Hedging, CDS, Options

6.

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 LiverpoolFinancial Mathematics and Computation Cluster, University of East Anglia (UEA) - Norwich Business School and University of Liverpool Management School
Downloads 198 (280,539)
Citation 2

Abstract:

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

7.

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 LiverpoolFinancial Mathematics and Computation Cluster, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 141 (375,081)
Citation 2

Abstract:

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credit spreads, price discovery, multivariate GARCH

8.

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 Southampton - Southampton Business School, Swansea University - School of Management and University of LiverpoolFinancial Mathematics and Computation Cluster
Downloads 68 (610,201)
Citation 4

Abstract:

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Credit Default Swaps; Executive Compensation; Risk Taking; Leverage

9.

Borrowing Choices Of Local Governments And The Term Structure Of Interest Rates

Number of pages: 70 Posted: 13 Dec 2022 Last Revised: 25 Oct 2023
Davide E. Avino and Dennis De Widt
University of LiverpoolFinancial Mathematics and Computation Cluster and Cardiff Business School, Cardiff University
Downloads 41 (781,655)

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Debt Financing, Local Government, Loan Choice, Interest Rates, Taxation, Political Process

10.

Rethinking Capital Structure Arbitrage: A Price Discovery Perspective

Journal of Alternative Investments, Vol. 22, pp. 75-91, 2020, https://jai.pm-research.com/content/22/4/75
Posted: 02 Jun 2012 Last Revised: 24 May 2020
Davide E. Avino and Emese Lazar
University of LiverpoolFinancial Mathematics and Computation Cluster and University of Reading - ICMA Centre

Abstract:

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