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Is default risk priced equally fast in the credit default swap and the stock markets? : an empirical investigation
Tolikas, Konstantinos; Topaloglou, Nikolas - In: Journal of international financial markets, … 51 (2017), pp. 39-57
Persistent link: https://www.econbiz.de/10011896287
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The term structure of interbank risk
Filipović, Damir; Trolle, Anders B. - In: Journal of financial economics 109 (2013) 3, pp. 707-733
Persistent link: https://www.econbiz.de/10010205349
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Macro risk factors of credit default swap indices in a regime-switching framework
Kam Fong Chan; Marsden, Alastair - In: Journal of international financial markets, … 29 (2014), pp. 285-308
Persistent link: https://www.econbiz.de/10010412144
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How do sovereign risk, equity and foreign exchange derivatives markets interact?
Ibhagui, Oyakhilome - In: Economic modelling 97 (2021), pp. 58-78
Persistent link: https://www.econbiz.de/10012793299
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Common risk factors in the cross-section of corporate bond returns
Bai, Jennie; Bali, Turan G.; Wen, Quan - In: Journal of financial economics 131 (2019) 3, pp. 619-642
Persistent link: https://www.econbiz.de/10012133022
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Equity market information and credit risk signaling : a quantile cointegrating regression approach
Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59
Persistent link: https://www.econbiz.de/10011756467
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A multilevel factor approach for the analysis of CDS commonality and risk contribution
Rodríguez-Caballero, Carlos Vladimir; Caporin, Massimiliano - In: Journal of international financial markets, … 63 (2019), pp. 1-18
Persistent link: https://www.econbiz.de/10012263344
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Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums
Ruan, Xinfeng; Zhu, Wenli; Huang, Jiexiang; Zhang, Jin E. - In: Economic modelling 54 (2016), pp. 326-338
Persistent link: https://www.econbiz.de/10011642179
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OTC premia
Cenedese, Gino; Ranaldo, Angelo; Vasios, Michalis - In: Journal of financial economics 136 (2020) 1, pp. 86-105
Persistent link: https://www.econbiz.de/10012545370
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From CIP-deviations to a market for risk premia : a dynamic investigation of cross-currency basis swaps
Chatziantoniou, Ioannis; Gabauer, David; Stenfors, Alexis - In: Journal of international financial markets, … 69 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012495926