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The Credit Default Swap market contagion during recent crises : international evidence
Sabkha, Saker; Peretti, Christian de; Hmaied, Dorra Mezzez - In: Review of quantitative finance and accounting 53 (2019) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10012173009
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Nonlinearities in the oil effects on the sovereign credit risk: a self-exciting threshold autoregression approach
Sabkha, Saker; Peretti, Christian de; Hmaied, Dorra Mezzez - In: Research in international business and finance 50 (2019), pp. 106-133
Persistent link: https://www.econbiz.de/10012177033
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On the informational market efficiency of the worldwide sovereign credit default swaps
Sabkha, Saker; Peretti, Christian de; Hmaied, Dorra Mezzez - In: The journal of asset management 20 (2019) 7, pp. 581-608
Persistent link: https://www.econbiz.de/10012155323
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Forecasting sovereign CDS VOLATILITY : a comparison of univariate GARCH-class models
Sabkha, Saker; Peretti, Christian de; Mallek, Sabrine - In: Vie & sciences de l'entreprise : VSE ; la revue de … 209 (2020), pp. 27-56
Persistent link: https://www.econbiz.de/10013188545