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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

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

Sovereign and bank CDS spreads : two sides of the same coin?

Avino, Davide; Cotter, John - In: Journal of international financial markets, … 32 (2014), pp. 72-85

Persistent link: https://www.econbiz.de/10011299805

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

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

Credit risk analysis on Euro government bonds-term structures of default probabilities

Kariya, Takeaki; Yamamura, Yoshiro; Tanokura, Yoko; … - In: Asia-Pacific financial markets 22 (2015) 4, pp. 397-427

Persistent link: https://www.econbiz.de/10011524823

Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads

Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016

We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008--2015, joint default probabilities based on...

Persistent link: https://www.econbiz.de/10011531096

The effects of fiscal opacity on sovereign credit spreads

Peat, Maurice; Svec, Jiri; Wang, Jue - In: Emerging markets review 24 (2015), pp. 34-45

Persistent link: https://www.econbiz.de/10011538528

A decomposition of Korean sovereign bond yields : joint estimation using sovereign CDS and bond data

Kim, Jungmu; Lee, Changjun - In: Asia-Pacific journal of financial studies 43 (2014) 6, pp. 918-947

Persistent link: https://www.econbiz.de/10010476859

The impact of CDS trading on the bond market : evidence from Asia

Shim, Ilhyock; Zhu, Haibin - In: Journal of banking & finance 40 (2014), pp. 460-475

Persistent link: https://www.econbiz.de/10010404699