Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads-Reference-Cited by-同舟云学术

Implied liquidity risk premium in the term structure of sovereign credit default swap and bond spreads

Published:2015-01-19 Issue:10 Volume:22 Page:825-853
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Badaoui Saad,Cathcart Lara,El-Jahel Lina

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

http://www.tandfonline.com/doi/pdf/10.1080/1351847X.2014.996297

Reference34 articles.

1. Augustin P. 2012.The term structure of CDS spreads and sovereign credit risk. Working Paper, Stockholm School of Economics.

2. Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach

3. Bai J., Julliard C., and Yuan K. 2012.Eurozone sovereign bond crisis: Liquidity or fundamental contagion. Working Paper, Federal Reserve Bank of New York.

4. Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

5. Decomposing European CDS Returns*

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