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Are there arbitrage opportunities in credit derivatives markets? : a new test and an application to the case of CDS and ASPs
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - 2009
Persistent link: https://www.econbiz.de/10003972605
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Credit spreads : an empirical analysis on the informational content of stocks, bonds, and CDS
Forte, Santiago; Peña Sánchez de Rivera, Juan Ignacio - In: Journal of banking & finance 33 (2009) 11, pp. 2013-2025
Persistent link: https://www.econbiz.de/10003892177
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Systemic risk measures : the simpler the better?
Rodríguez-Moreno, María; Peña Sánchez de Rivera, … - In: Journal of banking & finance 37 (2013) 6, pp. 1817-1831
Persistent link: https://www.econbiz.de/10009741912
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Are all credit default swap databases equal?
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - 2010
Persistent link: https://www.econbiz.de/10009686926
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Credit-risk valuation in the sovereign CDS and bonds markets : evidence from the euro area crisis
Arce, Óscar; Mayordomo, Sergio; Peña Sánchez de … - In: Journal of international money and finance 35 (2013), pp. 124-145
Persistent link: https://www.econbiz.de/10009751693
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An empirical analysis of dynamic dependences in the European corporate credit markets : bonds versus credit derivatives
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio - In: Applied financial economics 24 (2014) 7/9, pp. 605-619
Persistent link: https://www.econbiz.de/10010402682
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The effect of liqudity on the price discovery process in credit derivatives markets in time of financial distress
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: The European journal of finance 17 (2011) 9/10, pp. 851-881
Persistent link: https://www.econbiz.de/10009529136
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Testing for statistical arbitrage in credit derivatives markets
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: Journal of empirical finance 26 (2014), pp. 59-75
Persistent link: https://www.econbiz.de/10010472006
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Liquidity commonalities in the corporate CDS market around the 2007-2012 financial crisis
Mayordomo, Sergio; Rodriguez-Moreno, Maria; Peña … - In: International review of economics & finance : IREF 31 (2014), pp. 171-192
Persistent link: https://www.econbiz.de/10010490426
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Are all credit default swap databases equal?
Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: European financial management : the journal of the … 20 (2014) 4, pp. 677-713
Persistent link: https://www.econbiz.de/10010503546