Pham Thu Hien

Humboldt University of Berlin

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

642

SSRN CITATIONS

7

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance

International Review of Financial Analysis, Vol. 59, pp. 105-116, University of St.Gallen, School of Finance Research Paper No. 2018/14, QMS Research Paper 2018/01
Number of pages: 29 Posted: 22 Mar 2018 Last Revised: 13 Jun 2019
Tony Klein, Pham Thu Hien and Thomas Walther
Queen's University Belfast - Queen's Management School, Humboldt University of Berlin and Utrecht University - School of Economics
Downloads 604 (44,324)
Citation 7

Abstract:

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BEKK, Bitcoin, CRIX, Cryptocurrency, Gold, GARCH, Conditional Correlation, Asymmetry, Long Memory

2.

Credit Risk Calibration Based on CDS Spreads

SFB 649 Discussion Paper 2014-026
Number of pages: 41 Posted: 05 Jan 2017
Shih-Kang Chao, Wolfgang K. Härdle and Pham Thu Hien
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 25 (502,135)

Abstract:

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CDS, VaR, CoVaR, stressed VaR, Central Counterparty, Quantile Regression

3.

The Integration of Credit Default Swap Markets in the Pre and Post-Subprime Crisis in Common Stochastic Trends

SFB 649 Discussion Paper 2014-038
Number of pages: 30 Posted: 05 Jan 2017
Cathy Chen, Wolfgang K. Härdle and Pham Thu Hien
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 13 (573,547)
Citation 1

Abstract:

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Credit default swaps, cointegration, common stochastic trend, correlated default