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Sovereign credit risk and stock markets : does the markets’ dependency increase with financial Distress?
Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167
This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of...
Persistent link: https://www.econbiz.de/10010373349
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Spillovers from the Euro area sovereign debt crisis : a macroeconometric model based analysis
Vitek, Francis; Bayoumi, Tamim A. - 2011
Persistent link: https://www.econbiz.de/10009259696
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Granger causality and systemic risk
Balboa, Marina; López-Espinosa, Germán; Rubia, Antonio - In: Finance research letters 15 (2015), pp. 49-58
Persistent link: https://www.econbiz.de/10011552955
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The international transmission of credit bubbles : theory and policy
Martin, Alberto; Ventura, Jaume - 2015
Persistent link: https://www.econbiz.de/10010495402
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Intra-daily volatility spillovers in international stock markets
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114
Persistent link: https://www.econbiz.de/10011475912
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The international transmission of credit bubbles : theory and policy
Ventura, Jaume; Martin, Alberto - 2015
Persistent link: https://www.econbiz.de/10010496142
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Illiquidity contagion and pricing of commonality risk : evidence from a dynamic conditional correlation model
Beyene, Nardos; Huang, Peng; Hueng, C. James - In: Finance research letters 39 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012805167
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Spatial spillover effects and risk contagion around G20 stock markets based on volatility network
Zhang, Weiping; Zhuang, Xintian; Lu, Yang - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012659562
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Birds of a feather : separating spillovers from shocks in sovereign default
Rudderham, Ryan - In: Annals of finance 17 (2021) 3, pp. 353-378
Persistent link: https://www.econbiz.de/10012622324
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Network structures, environmental technology and contagion
Billard, Côme - In: Climate policy 21 (2021) 6, pp. 719-744
Persistent link: https://www.econbiz.de/10012608526