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The effects of Brexit on credit spreads : evidence from UK and Eurozone corporate bond markets
Kadiric, Samir; Korus, Arthur - In: International economics and economic policy : IEEP 16 (2019) 1, pp. 65-102
Persistent link: https://www.econbiz.de/10012114911
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Effects of liquidity on the non-default component of corporate yield spreads : evidence from intraday transactions data
Han, Song; Zhou, Hao - In: The quarterly journal of finance 6 (2016) 3, pp. 1-49
Persistent link: https://www.econbiz.de/10011531498
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Credit spreads : an empirical analysis on the informational content of stocks, bonds, and CDS
Forte, Santiago; Peña Sánchez de Rivera, Juan Ignacio - In: Journal of banking & finance 33 (2009) 11, pp. 2013-2025
Persistent link: https://www.econbiz.de/10003892177
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Credit Spreads : An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS
Forte, Santiago - 2012
This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads. A general VECM representation is proposed for changes in the three credit spread measures which accounts for zero, one, or two independent cointegration equations, depending...
Persistent link: https://www.econbiz.de/10012755686
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CDS-bond basis dynamic and credit spread price discovery : a test for European corporate and sovereign bond markets
Patanè, Michele; Tedesco, Mattia; Zedda, Stefano - In: Modern economy 10 (2019) 8, pp. 1984-2003
Persistent link: https://www.econbiz.de/10012194209
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Option-adjusted delta credit spreads : a cross-country analysis
Becchetti, Leonardo; Carpentieri, Andrea; Hasan, Iftekhar - In: European financial management : the journal of the … 18 (2012) 2, pp. 183-217
Persistent link: https://www.econbiz.de/10009531492
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Sovereign bond spreads and CDS premia in the Eurozone : a causality analysis
Téllez, Cecilia; Martín García, Margarita; Ramón … - In: Revista de métodos cuantitativos para la economía y … 30 (2020), pp. 58-78
separately or by taking into account the joint evolution of their values. The data refer to ten countries in the Eurozone along …
Persistent link: https://www.econbiz.de/10012436652
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Sovereign and corporate credit risk : evidence from the Eurozone
Bedendo, Mascia; Colla, Paolo - In: The journal of corporate finance : contracting, … 33 (2015), pp. 34-52
Persistent link: https://www.econbiz.de/10011408394
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Liquidity spillovers in sovereign bond and CDS markets : an analysis of the Eurozone sovereign debt crisis
Calice, Giovanni; Chen, Jing; Williams, Julian - In: Journal of economic behavior & organization : JEBO 85 (2013) 1, pp. 122-143
Persistent link: https://www.econbiz.de/10009708778
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What are the driving factors behind the rise of spreads and CDS of euro-area sovereign bonds? : a FAVAR model for Greece and Ireland
Apergēs, Nikolaos; Mamatzakis, Emmanuel C. - In: International journal of economics and business research 7 (2014) 1, pp. 104-120
Persistent link: https://www.econbiz.de/10010351548