By Dr David Bryan Colwell

Preprints

Zarban AA; Colwell D; Salopek DM, 2024, Default Risk With Imperfect Information Under Regime-Switching Model, http://dx.doi.org/10.20944/preprints202406.0833.v1

Chiarella C; Colwell DB; Kwon OK, A Class of Stochastic Volatility HJM Interest Rate Models, http://dx.doi.org/10.2139/ssrn.492902

Bhar R; Colwell DB; Xiao Y, A Jump Diffusion Model for Spot Electricity Prices and Market Price of Risk, http://dx.doi.org/10.2139/ssrn.1773137

Bhar R; Colwell DB; Wang P, Characteristic of Implied Volatility of CDSwaptions in ITraxx Market and its Relationship to Stock Market, http://dx.doi.org/10.2139/ssrn.1402984

Bhar R; Colwell DB; Wang P, Component Structure of Credit Default Swap Spreads and Their Determinants, http://dx.doi.org/10.2139/ssrn.3082634

Bhar R; Colwell DB; Wang P, Component Structure of Credit Default Swap Spreads and Their Determinants, http://dx.doi.org/10.2139/ssrn.1263176

Xiao Y; Colwell DB; Bhar R, Regime-Switching of Electricity Prices: Evidence from the PJM Market, http://dx.doi.org/10.2139/ssrn.2137018

Colwell DB; Henker J; Walter TS, The Effect of Investor Category Trading Imbalances on Stock Returns, http://dx.doi.org/10.2139/ssrn.1009025

Colwell DB; El-Hassan N; Kwon OK, Variance Minimizing Strategies for Stochastic Processes with Applications to Tracking Stock Indices, http://dx.doi.org/10.2139/ssrn.2738338

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