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The interrelation of prices, ratings and models in credit default swap and equity markets

Imbierowicz, Björn - 2009

Persistent link: https://www.econbiz.de/10003916627

The relative informational efficiency of stocks, options and credit default swaps during the financial crisis

Amadori, Maria Chiara; Bekkour, Lamia; Lehnert, Thorsten - In: Journal of risk finance : the convergence of financial … 15 (2014) 5, pp. 510-532

Persistent link: https://www.econbiz.de/10010469124

Price discovery in CDS and equity markets : default risk-based heterogeneity in the systematic investment grade and high yield sectors

Procasky, William J. - In: Journal of financial markets 54 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013273142

The relative efficiency of investment grade credit and equity markets

Procasky, William J. - In: International Journal of Financial Markets and … 9 (2023) 1/2, pp. 43-58

Persistent link: https://www.econbiz.de/10014311699

Are credit default swaps still a sideshow? : How information flow between equity and CDS markets has changed since the financial crisis

Wang, Ruolin; Basu, Anup; Clements, Adam - In: Global finance journal 57 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014479021

Investigation of fractal market hypothesis in emerging markets : evidence from the MINT stock markets

Karaömer, Yunus - In: Organizations and markets in emerging economies 13 (2022) 2/26, pp. 467-489

This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis. For this purpose, the ARFIMA and ARFIMA-FIGARCH type models are used to analyze the MINT stock return...

Persistent link: https://www.econbiz.de/10014532178