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Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK

Tamakoshi, Go; Hamori, Shigeyuki - In: Research in international business and finance 36 (2016), pp. 288-296

Persistent link: https://www.econbiz.de/10011594438

Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis : evidence from central Europe

Ters, Kristyna; Urban, Jörg - In: International review of economics & finance : IREF 54 (2018), pp. 123-142

Persistent link: https://www.econbiz.de/10012033352

Redenomination-risk spillovers in the Eurozone

Borri, Nicola - In: Economics letters 174 (2019), pp. 173-178

Persistent link: https://www.econbiz.de/10012121083

Spillover across Eurozone credit market sectors and determinants

Shahzad, Syed Jawad Hussain; Bouri, Elie; Hernandez, … - In: Applied economics 51 (2019) 59, pp. 6333-6349

Persistent link: https://www.econbiz.de/10012197344

Intraday dynamics of Euro area sovereign credit risk contagion

Komárek, Luboš; Ters, Kristyna; Urban, Jörg - 2016

Persistent link: https://www.econbiz.de/10011778677

The impact and the spillover effect of a sovereign rating announcement on the euro area CDS market

Drago, Danilo; Gallo, Raffaele - In: Journal of international money and finance 67 (2016), pp. 264-286

Persistent link: https://www.econbiz.de/10011711628

The Impact and the Spillover Effect of a Sovereign Rating Announcement on the Euro Area CDS Market

Drago, Danilo - 2018

This paper analyzes the impact and the spillover effect of a sovereign rating announcement on the euro area CDS market. Through the event study technique, we demonstrate that downgrades and upgrades considerably affect financial markets. The relevance of the impact is due to the introduction of...

Persistent link: https://www.econbiz.de/10012914131