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Are the US stock market and credit default swap market related? : evidence from the CDX indices

Fung, Hung-gay; Sierra, Gregory E.; Yau, Jot; Zhang, Gaiyan - In: The journal of alternative investments 11 (2008/09) 1, pp. 43-61

Persistent link: https://www.econbiz.de/10003779256

Credit contagion from counterparty risk

Jorion, Philippe; Zhang, Gaiyan - In: The journal of finance : the journal of the American … 64 (2009) 5, pp. 2053-2087

Persistent link: https://www.econbiz.de/10003899586

Good and bad credit contagion : evidence from credit default swaps

Jorion, Philippe; Zhang, Gaiyan - In: Journal of financial economics 84 (2007) 3, pp. 860-883

Persistent link: https://www.econbiz.de/10003471593

Intra-industry credit contagion : evidence from the credit default swap market and the stock market

Zhang, Gaiyan - 2005

Persistent link: https://www.econbiz.de/10003946350

Do credit default swaps predict currency values?

Zhang, Gaiyan; Yau, Jot; Fung, Hung-gay - In: Applied financial economics 20 (2010) 4/6, pp. 439-458

Using daily data of four currencies (Japanese Yen (JPY), Euro (EUR), British Pound (GBP) and Australian Dollar (AUD)) in terms of the US Dollar (USD), and JPY, USD, GBP and AUD in terms of the EUR from January 2004 to February 2008, we examine the lead-lag relationship between the Credit Default...

Persistent link: https://www.econbiz.de/10003963392