Davide E. Avino

University of Liverpool

Chatham Street

Liverpool, L69 7ZA

United Kingdom

Financial Mathematics and Computation Cluster

Visiting Research Fellow

Dublin

Ireland

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 49,051

SSRN RANKINGS

Top 49,051

in Total Papers Downloads

1,315

SSRN CITATIONS

9

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 284 (149,455)
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 203 (206,699)
Citation 3

Abstract:

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Bank Failure, Market Discipline, Credit Default Swap, CDS

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 LiverpoolFinancial Mathematics and Computation Cluster, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 188 (221,302)
Citation 1

Abstract:

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

4.

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 170 (241,185)

Abstract:

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

5.

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 166 (246,104)
Citation 1

Abstract:

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

6.

Contingent Claims and Hedging of Credit Risk with Equity Options

Number of pages: 55 Posted: 24 May 2018 Last Revised: 06 Aug 2019
Davide E. Avino and Enrique Salvador
University of LiverpoolFinancial Mathematics and Computation Cluster and Universitat Jaume I - Department of Finance and Accounting
Downloads 129 (302,586)

Abstract:

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Credit Risk, Contingent Claims, Hedging, CDS, Options

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 122 (313,382)
Citation 1

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, The University of Edinburgh Business School, The University of Edinburgh, Swansea University - School of Management and University of LiverpoolFinancial Mathematics and Computation Cluster
Downloads 40 (567,376)
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: Theory and empirics

Number of pages: 49 Posted: 08 Nov 2021 Last Revised: 25 Apr 2022
Davide E. Avino and Dennis De Widt
University of LiverpoolFinancial Mathematics and Computation Cluster and Cardiff Business School, Cardiff University
Downloads 13 (752,389)

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Local Government, Loan Choice, Interest Rates, Expectations

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