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Sovereign credit default swaps and the currency forward bias
Calice, Giovanni; Lin, Ming-Tsung - In: Journal of international financial markets, … 86 (2023), pp. 1-25
Persistent link: https://www.econbiz.de/10014433385
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Regime-dependent sovereign risk pricing during the euro crisis
Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2016
panel smooth threshold regression model quantify and explain them: 1) investors have penalized a deterioration of …
Persistent link: https://www.econbiz.de/10011974869
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The ICA-based factor decomposition of the Eurozone sovereign CDS spreads
Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - 2015
Persistent link: https://www.econbiz.de/10011375946
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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
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Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market
Chiarella, Carl; Ellen, Saskia ter; He, Xue-zhong; Wu, Eliza - In: Journal of empirical finance 32 (2015), pp. 19-34
Persistent link: https://www.econbiz.de/10011556769
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Impacts of the financial crisis on eurozone sovereign CDS spreads
Gündüz, Yalın; Kaya, Orcun - In: Journal of international money and finance 49 (2014), pp. 425-442
Persistent link: https://www.econbiz.de/10010464931
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The relative pricing of sovereign credit risk after the Eurozone crisis
Corvino, Raffaele; Ruggiero, Francesco - In: Journal of international money and finance 112 (2021), pp. 1-25
Persistent link: https://www.econbiz.de/10012797600
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Factor decomposition of the Eurozone sovereign CDS spreads
Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - In: Journal of international money and finance 65 (2016), pp. 1-23
Persistent link: https://www.econbiz.de/10011668394
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Market perception of sovereign credit risk in the euro area during the financial crisis
Camba-Méndez, Gonzalo; Serwa, Dobromił - In: The North American journal of economics and finance : a … 37 (2016), pp. 168-189
Persistent link: https://www.econbiz.de/10011672946
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Sovereign credit risk, liquidity, and European Central Bank intervention : Deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - In: Journal of financial economics 122 (2016) 1, pp. 86-115
Persistent link: https://www.econbiz.de/10011590889