Mayordomo, Sergio; Peña, Juan Ignacio - In: Applied Financial Economics 24 (2014) 9, pp. 605-619
This article provides new evidence on the dynamic dependences of European corporate credit spread in three markets: bond, Credit Default Swap (CDS) and Asset Swap (ASP). Using daily data from 2005 to 2011, we find that credit spread returns are primarily driven by innovations. The intra-market...
