Sovereign bond spreads and credit default swap premia: cointegration and causality

Sovereign bond spreads and credit default swap premia: cointegration and causality

Bibliographic Details
Main Authors:	Margarita Martín García, Cecilia Téllez Valle, José Luis Martín Marín
Format:	Article
Language:	English
Published:	LLC "CPC "Business Perspectives" 2014-06-01
Series:	Investment Management & Financial Innovations
Online Access:	https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/5776/imfi_en_2014_02_Garcia.pdf

Similar Items

Sovereign default network and currency risk premia
by: Lu Yang, et al.
Published: (2023-05-01)

Analysing sovereign credit default swaps of Baltic countries
by: Arvydas Kregzde, et al.
Published: (2015-06-01)

Sovereign bond spreads and CDS premia in the Eurozone: A causality analysis || Diferenciales de bonos soberanos y primas de CDS en la zona euro: un análisis de causalidad
by: Téllez Valle, Cecilia, et al.
Published: (2020-12-01)

Sovereign credit default swap spreads as tools of ensuring the international financial security of the Eurozone countries
by: Nataliia Goncharenko, et al.
Published: (2019-02-01)

Disentangling the information content of government bonds and credit default swaps: An empirical analysis on sovereigns and banks
by: Michele Leonardo Bianchi, et al.
Published: (2016-12-01)

The behavior of Sovereign Credit Default Swaps (CDS) spread: evidence from Turkey with the effect of Covid-19 pandemic
by: Mustafa Tevfik Kartal
Published: (2020-08-01)

Stock buybacks and credit default swap spread changes
by: Heewoo Park, et al.
Published: (2023-03-01)

The Effect of Executive Compensation on Credit Default Swap Spread
by: Meizaroh Meizaroh, et al.
Published: (2019-04-01)

Common Determinants of Credit Default Swap Premia in the North American Oil and Gas Industry. A Panel BMA Approach
by: Karol Szafranek, et al.
Published: (2020-11-01)

The Term Structure of Credit Spreads and Credit Default Swaps - an Empirical Investigation
by: Stefan Trück, et al.
Published: (2005-01-01)

Dynamics in the Predictability of Credit Default Swap Spreads of EU Companies
by: Kirill Romanyuk, et al.
Published: (2023-01-01)

Credit Default Swap and Liquidity
by: Khaldoun Maddallah Al-Qaisi, et al.
Published: (2017-04-01)

Credit Default Swap and Liquidity
by: Khaldoun Maddallah Al-Qaisi, et al.
Published: (2017-06-01)

Credit Default Swap and Liquidity
by: Khaldoun Maddallah Al-Qaisi, et al.
Published: (2017-04-01)

Credit Default Swap and Liquidity
by: Khaldoun Maddallah Al-Qaisi, et al.
Published: (2017-04-01)

Sovereign Credit Default Swap Market Volatility in BRICS Countries Before and During the COVID-19 Pandemic
by: Letife Özdemir, et al.
Published: (2024-03-01)

Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work?
by: Sorin Gabriel Anton, et al.
Published: (2020-03-01)

Market exuberance in sovereign credit default swaps: assessing the EU regulatory framework and trading profit opportunities
by: Maria Alberta Oliveira, et al.
Published: (2015-12-01)

Modeling basket credit default swaps with default contagion
by: Haworth, H, et al.
Published: (2006)

THE ASYMMETRICAL IMPACT OF POLICY RESPONSES ON VOLATILITY OF SOVEREIGN DEFAULT SWAPS
by: Deniz ERER
Published: (2022-09-01)

A measure of Turkey's sovereign and banking sector credit risk: Asset swap spreads
by: Doruk Küçüksaraç, et al.
Published: (2021-06-01)

CREDIT DEFAULT SWAPS AND BANK SAFETY
by: Matt Brigida
Published: (2022-10-01)

Credit default swaps and corporate innovation
by: Chang, Xin, et al.
Published: (2020)

Credit default swaps and shareholder monitoring
by: Yu, Xiaoxu
Published: (2022)

Analysis of Lithuanian credit default swaps
by: Arvydas Kregzde, et al.
Published: (2015-10-01)

CREDIT DEFAULT SWAPS IN THE MECHANISM OF REDISTRIBUTION OF CREDIT RISK
by: O. Solodka
Published: (2015-03-01)

Understanding Emerging Market Sovereign Bond Yield Spread: Role of Default and Non-Default Determinants
by: Adelia Surya Pratiwi
Published: (2015-04-01)

Modelling bonds and credit default swaps using a structural model with contagion
by: Haworth, H, et al.
Published: (2006)

Modelling bonds and credit default swaps using a structural model with contagion
by: Haworth, H, et al.
Published: (2008)

Modelling bonds and credit default swaps using a structural model with contagion
by: Haworth, H, et al.
Published: (2006)

ORIGIN CREDIT-DEFAULT SWAPS, AND IDIOSYNCRATIC THEIR FUNCTIONING
by: Марсель Альбертович Шарипов, et al.
Published: (2013-04-01)

ORIGIN CREDIT-DEFAULT SWAPS, AND IDIOSYNCRATIC THEIR FUNCTIONING
by: Sharipov Marsel Albertovich, et al.
Published: (2013-01-01)

An analysis through credit default swap, asset swap and zero-volatility spreads: Coup attempt and Bist 100 volatility
by: Samet Gunay
Published: (2019-06-01)

Determinants of sovereign risk premia for European emerging markets
by: Mirna Dumičić, et al.
Published: (2011-09-01)

Does credit default swap spread affect the value of the Turkish LIRA against the U.S. dollar?
by: M. Kabir Hassan, et al.
Published: (2017-03-01)

Credit Default Swaps in the External Public Debt Management
by: Lupenko Andrii Yu.
Published: (2020-11-01)

Uses and abuses of credit default swaps – a critique
by: Sunder Ram Korivi, et al.
Published: (2012-11-01)

Applications of actuarial techniques to credit default swap pricing
by: Lim, Zheng Xian, et al.
Published: (2012)

Metodologia para precificação de credit default swaps
by: Helcio Haruo Sasaki, et al.
Published: (2009-09-01)

Determinantes do Bond Spread e do Credit Default Swap: Por que são diferentes? O caso da Petrobras
by: Fernando Nascimento de Oliveira, et al.
Published: (2016-01-01)