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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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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
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The dynamics of sovereign credit default swaps and the evolution of the financial crisis in selected Central European economies
Kliber, Agata - In: Finance a úvěr 64 (2014) 4, pp. 330-350
Persistent link: https://www.econbiz.de/10010399918
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credit default swap
Fender, Ingo; Hayo, Bernd; Neuenkirchen, Matthias - In: Journal of banking & finance 36 (2012) 10, pp. 2786-2794
Persistent link: https://www.econbiz.de/10009673246
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The Anatomy of Sovereign Credit Contagion
Kalotychou, Elena - 2015
the credit spreads of other regional sovereigns and on the rest of the world. We find that such “fast and furious …
Persistent link: https://www.econbiz.de/10013019398
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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 - In: Journal of international money and finance 66 (2016), pp. 32-48
Persistent link: https://www.econbiz.de/10011668446
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Accounting for sovereign tail risk in emerging economies : the role of global and domestic risk factors
Fong, Tom; Li, Ka-Fei; Fu, John - 2015
Persistent link: https://www.econbiz.de/10012200130
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Sovereign credit default swaps and U.S. economic policy uncertainty after the global financial crisis
Inoguchi, Masahiro - In: Global Financial Flows in the Pre- and Post-global …, (pp. 113-141). 2022
Persistent link: https://www.econbiz.de/10013448159
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The Relationship between Sovereign Credit Default Swaps and Sovereign Bond Market : Sovereign Crises Context
IJEFMS, Editor; AMRI, SOUHIR - 2022
Recent studies suggested that financial markets correlations and volatilities change during crisis periods. This paper presents a practical framework to test the volatility of sovereign credit default market and sovereign bond market indexes during the sovereign crisis period. Furthermore, our...
Persistent link: https://www.econbiz.de/10013405314
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Modeling sovereign credit default swaps volatility at different tenures : an application for Latin American countries
Gamboa-Estrada, Fredy; Romero, José Vicente - In: Borsa Istanbul Review 24 (2024) 4, pp. 772-786
Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for macroeconomic policymakers and market practitioners. This study analyzes the main determinants of sovereign credit default swaps (SCDS) in Latin America at different tenures,...
Persistent link: https://www.econbiz.de/10014635386