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Liquidity and CDS premiums on European companies around the Subprime crisis

Lesplingart, Clothilde; Majois, Christophe; Petitjean, … - In: Review of derivatives research 15 (2012) 3, pp. 217-256

Persistent link: https://www.econbiz.de/10009709684

Kamga, Merlin Kuate; Wilde, Christian - 2017

We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and … liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it allows to disentangle … and compare the liquidity premium earned by the protection buyer and the protection seller. In contrast to other studies …

Persistent link: https://www.econbiz.de/10011698857

The liquidity of credit default index swap networks

Haynes, Richard; McPhail, Lihong Lu - In: The journal of network theory in finance 5 (2019) 1, pp. 67-95

Persistent link: https://www.econbiz.de/10012133008

The impact of liquidity on senior credit index spreads during the subprime crisis

Marra, Miriam - In: International review of financial analysis 37 (2015), pp. 148-167

Persistent link: https://www.econbiz.de/10011317226

Deciphering the Libor and Euribor Spreads during the subprime crisis

Pelizzon, Loriana; Sartore, Domenico - In: The North American journal of economics and finance : a … 26 (2013), pp. 565-585

Persistent link: https://www.econbiz.de/10010370493

Corporate bond liquidity before and after the onset of the subprime crisis

Dick-Nielsen, Jens; Feldhütter, Peter; Lando, David - In: Journal of financial economics 103 (2012) 3, pp. 471-492

Persistent link: https://www.econbiz.de/10009520653

Market microstructure, banks' behaviour and interbank spreads : evidence after the crisis

Kapar, Burcu; Iori, Giulia; Gabbi, Giampaolo; Germano, Guido - In: Journal of economic interaction and coordination 15 (2020) 1, pp. 283-331

Persistent link: https://www.econbiz.de/10012226919

Ecology, economics, and network dynamics

Hastings, Harold M.; Young-Taft, Tai; Tsen, Chih-Jui - 2020

In a seminal 1972 paper, Robert M. May asked: "Will a Large Complex System Be Stable?" and argued that stability (of a broad class of random linear systems) decreases with increasing complexity, sparking a revolution in our understanding of ecosystem dynamics. Twenty-five years later, May,...

Persistent link: https://www.econbiz.de/10012291950

On the study of contagion in the context of the subprime crisis : a dynamic conditional correlation-multivariate GARCH approach

Hemche, Omar; Jawadi, Fredj; Maliki, Samir B.; Cheffou, … - In: Economic modelling 52 (2016), pp. 292-299

Persistent link: https://www.econbiz.de/10011645655

The equity-like behaviour of sovereign bonds

Dufour, Alfonso; Stancu, Andrei; Varotto, Simone - In: Journal of international financial markets, … 48 (2017), pp. 25-46

Persistent link: https://www.econbiz.de/10011892283

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