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On the informational market efficiency of the worldwide sovereign credit default swaps

Sabkha, Saker; Peretti, Christian de; Hmaied, Dorra Mezzez - In: The journal of asset management 20 (2019) 7, pp. 581-608

Persistent link: https://www.econbiz.de/10012155323

The Credit Default Swap market contagion during recent crises : international evidence

Sabkha, Saker; Peretti, Christian de; Hmaied, Dorra Mezzez - In: Review of quantitative finance and accounting 53 (2019) 1, pp. 1-46

Persistent link: https://www.econbiz.de/10012173009

Nonlinearities in the oil effects on the sovereign credit risk: a self-exciting threshold autoregression approach

Sabkha, Saker; Peretti, Christian de; Hmaied, Dorra Mezzez - In: Research in international business and finance 50 (2019), pp. 106-133

Persistent link: https://www.econbiz.de/10012177033

International risk spillover in sovereign credit markets: an empirical analysis

Sabkha, Saker; de Peretti, Christian; Mezzez Hmaied, Dorra - In: Managerial Finance 45 (2019) 8, pp. 1020-1040

Purpose: The purpose of this paper is to study the volatility spillover among 33 worldwide sovereign Credit Default Swap (CDS) markets and their underlying bond markets. Design/methodology/approach: In contrast to prior studies, the authors incorporate heteroscedasticity, asymmetric leverage...

Persistent link: https://www.econbiz.de/10012078291