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Foreign acquisition and credit risk : evidence from the U.S. CDS market

Yilmaz, Umit - 2016 - This draft: May 31, 2016

This paper empirically analyses the effect of foreign block acquisitions on the U.S. target firms' credit risk as captured by their CDS. The involvement of foreign investors leads to a significant increase in the target firms' CDS spreads. This effect is stronger when foreign owners are...

Persistent link: https://www.econbiz.de/10011519062

Does economic policy uncertainty in the U.S. influence stock markets in China and India? : time-frequency evidence

Li, Rong; Li, Sufang; Yuan, Di; Yu, Keming - In: Applied economics 52 (2020) 39, pp. 4300-4316

Persistent link: https://www.econbiz.de/10012259034

Do stock market fear and economic policy uncertainty co-move with COVID-19 fear? : evidence from the US and UK

Rubbaniy, Ghulame; Khalid, Ali Awais; Tessema, Abiot Mindaye - In: Studies in economics and finance 40 (2023) 1, pp. 192-212

Persistent link: https://www.econbiz.de/10013503892

The drivers of credit default swap prices : evidence from selected emerging market countries

Ertugrul, Hasan Murat; Ozturk, Huseyin - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 228-249

Persistent link: https://www.econbiz.de/10010353718

High dimensional dynamic stochastic copula models

Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345

Persistent link: https://www.econbiz.de/10011504544

On the interplay between US sectoral CDS, stock and VIX indices : fresh insights from wavelet approaches

Shahzad, Syed Jawad Hussain; Aloui, Chaker; Jammazi, Rania - In: Finance research letters 33 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012430932

Market co-movement between credit default swap curves and option volatility surfaces

Shi, Yukun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 82 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013426474

Stock price default boundary : a Black-Cox model approach

Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013455157

Volatility spillovers in the European bank CDS market

Alemany, Aida; Ballester, Laura; González-Urteaga, Ana - In: Finance research letters 13 (2015), pp. 137-147

Persistent link: https://www.econbiz.de/10011552425

An implied volatility model determined by credit default swaps

Heider, Pascal - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-21

Persistent link: https://www.econbiz.de/10009685890

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