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Non-default component of sovereign emerging market yield spreads and its determinants : evidence from the credit default swap market
Küçük, Ugur N. - In: The journal of fixed income 19 (2009/10) 4, pp. 44-66
Persistent link: https://www.econbiz.de/10003970353
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Sovereign CDS and bond pricing dynamics in emerging markets : does the cheapest-to-deliver option matter?
Ammer, John; Cai, Fang - 2007
Persistent link: https://www.econbiz.de/10003997739
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The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads
Adler, Michael; Song, Jeong - In: International journal of finance & economics : IJFE 15 (2010) 1, pp. 31-58
Persistent link: https://www.econbiz.de/10008702370
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Price discovery between sovereign credit default swaps and bond yield spreads of emerging markets
Li, Nan; Huang, Alex - In: Journal of emerging market finance 10 (2011) 2, pp. 197-225
Persistent link: https://www.econbiz.de/10009301364
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Sovereign CDS and bond pricing dynamics in emerging markets : does the cheapest-to-deliver option matter?
Ammer, John; Cai, Fang - In: Journal of international financial markets, … 21 (2011) 3, pp. 369-387
Persistent link: https://www.econbiz.de/10009266913
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The dynamics of sovereign credit default swap and bond markets : empirical evidence from the 2001 to 2007 period
Aktug, Rahmi Erdem; Vasconcellos, Geraldo M.; Bae, Youngsoo - In: Applied economics letters 19 (2012) 1/3, pp. 251-259
Persistent link: https://www.econbiz.de/10009412609
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The causal linkages between sovereign CDS prices for the BRICS and major European economies
Stolbov, Michail I. - 2014
The article examines causal relationships between sovereign credit default swaps (CDS) prices for the BRICS and most important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function (CCF) approach used in the research distinguishes...
Persistent link: https://www.econbiz.de/10010247460
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Spillovers and contagion in the sovereign CDS market
Adam, Michał - In: Bank i kredyt 44 (2013) 6, pp. 571-604
Persistent link: https://www.econbiz.de/10010339876
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Time-varying co-movements and contagion effects in Asian sovereign CDS markets
Cho, Daehyoung; Choi, Kyongwook - In: Journal of East Asian economic integration 19 (2015) 4, pp. 357-379
Persistent link: https://www.econbiz.de/10011434876
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How do global investors differentiate between sovereign risks : the new normal versus the old
Amstad, Marlene; Remolona, Eli M.; Shek, Jimmy - 2016
Persistent link: https://www.econbiz.de/10011439801