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1
Mispricing of debt expansion in the eurozone sovereign credit market
Lotfi, Somayyeh
;
Milidonis, Andreas
;
Zenios, Stauros Andrea
- In:
Journal of financial stability
70
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014490472
Saved in:
2
Determinants of CDS in core and peripheral European countries : a comparative study during crisis and calm periods
Haddou, Samira
- In:
The North American journal of economics and finance : a …
71
(
2024
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014492044
Saved in:
3
Price discovery in euro area sovereign credit markets : evidence from the GIIPS countries 10 years after the implementation of the ban on naked short selling of CDS
Häusler, Sascha
;
Ters, Kristyna
- In:
Finance in Crises : Financial Management Under Uncertainty
,
(pp. 125-140)
.
2023
Persistent link: https://www.econbiz.de/10014472364
Saved in:
4
Price convergence between credit default swap and put option : new evidence
Chan, Ka Kei
;
Kolokolova, Olga
;
Lin, Ming-Tsung
;
Poon, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 188-213
Persistent link: https://www.econbiz.de/10014476820
Saved in:
5
Sovereign bond and CDS market contagion : a story from the Eurozone crisis
Bampinas, Georgios
;
Panagiōtidēs, Theodōros
; …
- In:
Journal of international money and finance
137
(
2023
),
pp. 1-33
Persistent link: https://www.econbiz.de/10014478141
Saved in:
6
Volatility spillovers between sovereign CDS and futures markets in various volatility states : evidence from an emerging economy around the pandemic
Gök, Remzi
;
Bouri, Elie
;
Gemici, Eray
- In:
Research in international business and finance
66
(
2023
),
pp. 1-27
Persistent link: https://www.econbiz.de/10014460654
Saved in:
7
Cross-border Italian sovereign risk transmission in EMU countries
Capasso, Salvatore
;
D'Uva, Marcella
;
Fiorelli, Cristiana
; …
- In:
Economic modelling
126
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014462235
Saved in:
8
Sovereign risk connectedness : the impact of ECB’s policy announcements in Central and Eastern Europe
Ciocirlan, C.
;
Nițoi, M.
- In:
Empirica : journal of european economics
50
(
2023
)
4
,
pp. 1025-1054
Persistent link: https://www.econbiz.de/10014420248
Saved in:
9
Contagion in the Euro area sovereign CDS market : a spatial approach
Ben Abdallah, Nadia
;
Dabbou, Halim
;
Gallali, Mohamed Imen
- In:
The journal of risk finance : JRF
24
(
2023
)
5
,
pp. 614-630
Persistent link: https://www.econbiz.de/10014430827
Saved in:
10
European systemic credit risk transmission using Bayesian networks
Ballester, Laura
;
López, Jesúa
;
Pavia, José Manuel
- In:
Research in international business and finance
65
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014432478
Saved in:
11
Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility
Forte, Santiago
;
Lovreta, Lidija
- In:
The journal of corporate finance : contracting, …
79
(
2023
),
pp. 1-33
Persistent link: https://www.econbiz.de/10014250993
Saved in:
12
Another look at contagion across United States and European financial markets : evidence from the credit default swaps markets
Tsionas, Efthymios G.
;
Apergēs, Nikolaos
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 1137-1155
Persistent link: https://www.econbiz.de/10014253359
Saved in:
13
COVID-19 pandemic and global corporate CDS spreads
Hasan, Iftekhar
;
Marra, Miriam
;
To, Thomas Y.
;
Wu, Eliza
; …
- In:
Journal of banking & finance
147
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014248238
Saved in:
14
An exact structural model for evaluating credit default swaps : theory and empirical evidence
Chen, Ren-Raw
;
Hsieh, Pei-Lin
- In:
The journal of fixed income : JFI
32
(
2023
)
3
,
pp. 20-48
Persistent link: https://www.econbiz.de/10014231375
Saved in:
15
Extracting implied volatilities from bank bonds
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1177-1197
Persistent link: https://www.econbiz.de/10014321670
Saved in:
16
What is mine is yours : sovereign risk transmission during the European debt crisis
Greenwood-Nimmo, Matthew
;
Viet Hoang Nguyen
;
Shin, Yongcheol
- In:
Journal of financial stability
65
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014289936
Saved in:
17
CDS and equity markets' volatility linkages : lessons from the EMU crisis
Bratis, Theodoros
;
Laopodis, Nikiforos
;
Kouretas, …
- In:
Review of quantitative finance and accounting
60
(
2023
)
3
,
pp. 1259-1281
Persistent link: https://www.econbiz.de/10014291804
Saved in:
18
The effect of CDS initiation on the quality of earnings forecasts
Ekici, Emrah
;
Sottile, Pedro
- In:
Research on professional responsibility and ethics in …
25
(
2023
),
pp. 127-147
Persistent link: https://www.econbiz.de/10014292179
Saved in:
19
Sovereign probabilities of default in the euro area
Jobst, Rainer
- In:
The journal of credit risk : published quarterly by …
18
(
2022
)
4
,
pp. 65-91
Persistent link: https://www.econbiz.de/10014247866
Saved in:
20
ECB monetary policy and bank default risk
Soenen, Nicolas
;
Vander Vennet, Rudi
- In:
Journal of international money and finance
122
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013433381
Saved in:
21
On the information content of credit ratings and market-based measures of default risk
Gredil, Oleg R.
;
Kapadia, Nishad
;
Lee, Jung H.
- In:
Journal of financial economics
146
(
2022
)
1
,
pp. 172-204
Persistent link: https://www.econbiz.de/10013482171
Saved in:
22
Sovereign green bond and country value and risk : evidence from European Union countries
Dell'Atti, Stefano
;
Di Tommaso, Caterina
;
Pacelli, Vincenzo
- In:
Journal of international financial management & accounting
33
(
2022
)
3
,
pp. 505-521
Persistent link: https://www.econbiz.de/10013463800
Saved in:
23
Stock price default boundary : a Black-Cox model approach
Shi, Yunkun
;
Stasinakis, Charalampos
;
Xu, Yaofei
;
Yan, Cheng
- In:
International review of financial analysis
83
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013455157
Saved in:
24
Determinants of European banks' default risk
Soenen, Nicolas
;
Vander Vennet, Rudi
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10013457304
Saved in:
25
Securitization, covered bonds and the risk taking behavior of european banks
Bottazzi, Laura
;
Arif, Ahmed
;
Pastorello, Sergio
-
2022
Persistent link: https://www.econbiz.de/10013259993
Saved in:
26
Macroeconomic determinants of credit risk : evidence from the Eurozone
Carvalho, Paulo Victor Rodrigues de
;
Curto, José Dias
; …
- In:
International journal of finance & economics : IJFE
27
(
2022
)
2
,
pp. 2054-2072
Persistent link: https://www.econbiz.de/10013184667
Saved in:
27
A theory of liquidity spillover between bond and CDS markets
Sambalaibat, Batchimeg
- In:
The review of financial studies
35
(
2022
)
5
,
pp. 2525-2569
Persistent link: https://www.econbiz.de/10013188969
Saved in:
28
Does nonperforming loan securitization affect credit default swap spreads? : evidence from European banks
Di Tommaso, Caterina
;
Pacelli, Vincenzo
- In:
Journal of international financial management & accounting
33
(
2022
)
2
,
pp. 285-306
Persistent link: https://www.econbiz.de/10013279498
Saved in:
29
The urgency to borrow in the interbank market
Brunetti, Celso
;
Harris, Jeffrey H.
;
Mankad, Shawn
- In:
Economics letters
221
(
2022
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014229535
Saved in:
30
Assessing the impact of policy and regulation interventions in European sovereign credit risk networks : what worked best?
Buse, Rebekka
;
Schienle, Melanie
;
Urban, Jörg
- In:
Journal of international economics
139
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014281778
Saved in:
31
Credit risk interdependence in global financial markets : evidence from three regions using multiple and partial wavelet approaches
Choi, Sun-Yong
- In:
Journal of international financial markets, …
80
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013533162
Saved in:
32
Eurozone crisis and banks' creditworthiness : what is new for credit default swap spread determinants?
Ortolano, Alessandra
;
Angelini, Eliana
- In:
Global business review
23
(
2022
)
4
,
pp. 911-924
Persistent link: https://www.econbiz.de/10013387257
Saved in:
33
Spillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis : a spatial approach
Kışla, Gül Huyugüzel
;
Muradoğlu, Gülnur
;
Özlem …
- In:
The journal of asset management : a major new, …
23
(
2022
)
4
,
pp. 277-296
Persistent link: https://www.econbiz.de/10013391984
Saved in:
34
Exchange rates and sovereign risk
Della Corte, Pasquale
;
Sarno, Lucio
;
Schmeling, Maik
; …
- In:
Management science : journal of the Institute for …
68
(
2022
)
8
,
pp. 5591-5617
Persistent link: https://www.econbiz.de/10013370992
Saved in:
35
The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?
Li, Leon
;
Scrimgeour, Frank G.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 475-497
Persistent link: https://www.econbiz.de/10013334844
Saved in:
36
ECB's unconventional monetary policy and spillover effects between sovereign and bank credit risk
Katsampoxakis, Ioannis
- In:
EuroMed journal of business
17
(
2022
)
2
,
pp. 218-245
Persistent link: https://www.econbiz.de/10013362444
Saved in:
37
The collateral rule : evidence from the credit default swap market
Capponi, Agostino
;
Cheng, Wan-Schwin Allen
;
Giglio, Stefano
- In:
Journal of monetary economics
126
(
2022
),
pp. 58-86
Persistent link: https://www.econbiz.de/10013364919
Saved in:
38
Bank use of sovereign CDS in the Eurozone crisis : hedging and risk incentives
Acharya, Viral V.
;
Gündüz, Yalın
;
Johnson, Tim
- In:
Journal of financial intermediation
50
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013348118
Saved in:
39
Credit risk and the transmission of interest rate shocks
Palazzo, Berardino
;
Yamarthy, Ram
- In:
Journal of monetary economics
130
(
2022
),
pp. 120-136
Persistent link: https://www.econbiz.de/10013396267
Saved in:
40
Counterparty choice in the UK credit default swap market : an empirical matching approach
Ferrara, Gerardo
;
Kim, Jun Sung
;
Koo, Bonsoo
;
Liu, Zijun
- In:
Economic modelling
94
(
2021
),
pp. 58-74
Persistent link: https://www.econbiz.de/10012694709
Saved in:
41
Bank use of sovereign CDS in the Eurozone crisis : hedging and risk incentives
Acharya, Viral V.
;
Gündüz, Yalın
;
Johnson, Tim
-
2021
Persistent link: https://www.econbiz.de/10012667120
Saved in:
42
Same firm, two volatilities : how variance risk is priced in credit and equity markets
Kita, Arben
;
Tortorice, Daniel L.
- In:
The journal of corporate finance : contracting, …
69
(
2021
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012629725
Saved in:
43
Bank credit risk events and peers' equity value
Fuertes, Ana María
;
Robles, Maria-Dolores
- In:
International review of financial analysis
75
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012804022
Saved in:
44
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
Saved in:
45
The nonlinear dynamics of corporate bond spreads : regime-dependent effects of their determinants
Fischer, Henning
;
Stolper, Oscar
- In:
Jahrbücher für Nationalökonomie und Statistik
241
(
2021
)
2
,
pp. 187-238
Persistent link: https://www.econbiz.de/10012437805
Saved in:
46
Bank credit risk networks : evidence from the Eurozone
Brownlees, Christian
;
Hans, Christina
;
Nualart, Eulalia
- In:
Journal of monetary economics
117
(
2021
),
pp. 585-599
Persistent link: https://www.econbiz.de/10012603037
Saved in:
47
Financial markets and fiscal discipline in the Eurozone
Canale, Rosaria Rita
;
De Simone, Elina
;
Spagnolo, Nicola
- In:
Structural change and economic dynamics : SC+ED
58
(
2021
),
pp. 490-499
Persistent link: https://www.econbiz.de/10012648733
Saved in:
48
Investigating the behaviour of sovereign risk for Eurozone countries
Agiakloglou, Christos N.
;
Deligiannakis, Emmanouil
; …
- In:
Applied economics
53
(
2021
)
53
,
pp. 6204-6212
Persistent link: https://www.econbiz.de/10012650392
Saved in:
49
Rating announcements, CDS spread and volatility during the European sovereign crisis
Raimbourg, Philippe
;
Salvadè, Federica
- In:
Finance research letters
40
(
2021
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012818910
Saved in:
50
Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia
Liu, Chang
;
Li, Jianping
;
Sun, Xiaolei
;
Chen, Jianming
- In:
Applied economics letters
28
(
2021
)
7
,
pp. 599-607
Persistent link: https://www.econbiz.de/10012501555
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