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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
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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
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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
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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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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
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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
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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
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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
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Credit and liquidity components of corporate CDS spreads
Corò, Filippo; Dufour, Alfonso; Varotto, Simone - In: Journal of Banking & Finance 37 (2013) 12, pp. 5511-5525
This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during … changes. The dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of … normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market …
Persistent link: https://www.econbiz.de/10011065649
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The price of liquidity : CD rates charged by money market funds
Whitledge, Matthew D.; Winters, Drew B. - In: Journal of banking & finance 54 (2015), pp. 104-114
Persistent link: https://www.econbiz.de/10011377794