The interactions and trade-offs of sovereign Credit Default SWAP (CDS) and bond spreads in a dynamic context
Year of publication: |
2019
|
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Authors: | Tampakoudis, Ioannis A. ; Tamošiūnas, Andrius ; Subeniotis, Demetres N. ; Kroustalis, Ioannis G. |
Published in: |
Journal of business economics and management. - Vilnius : VTGU Publ. House "Technika", ISSN 2029-4433, ZDB-ID 2400520-4. - Vol. 20.2019, 3, p. 466-488
|
Subject: | credit risk | CDS | sovereign bonds | debt crisis | cointegration | Granger causality | price discovery | rolling window analysis | Kreditderivat | Credit derivative | Öffentliche Anleihe | Public bond | Kausalanalyse | Causality analysis | Kreditrisiko | Credit risk | Kointegration | Cointegration | Öffentliche Schulden | Public debt | Länderrisiko | Country risk | Risikoprämie | Risk premium |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3846/jbem.2019.9759 [DOI] |
Classification: | C13 - Estimation ; F34 - International Lending and Debt Problems ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; M16 - International Business Administration ; M48 - Government Policy and Regulation ; M21 - Business Economics ; M29 - Business Economics. Other |
Source: | ECONIS - Online Catalogue of the ZBW |
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