Asymmetric and nonlinear comovements of credit default swap and bond markets: evidence from an emerging market-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Asymmetric and nonlinear comovements of credit default swap and bond markets: evidence from an emerging market

Published:2023-06-07 Issue: Volume: Page:1-22
ISSN:0210-2412
Container-title:Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad
language:en
Short-container-title:Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad

Author:

Bank Semra¹^ORCID,Abdioğlu Zehra²^ORCID,Kahraman Elif¹^ORCID

Affiliation:

1. Faculty of Economics and Administrative Sciences, Department of Business Administration, Karadeniz Technical University, Trabzon, Turkey

2. Faculty of Economics and Administrative Sciences, Department of Econometrics, Karadeniz Technical University, Trabzon, Turkey

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.1080/02102412.2023.2218182

Reference38 articles.

1. The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads

2. Nonlinearities in CDS-Bond Basis

3. Alexopoulou, I., Andersson, M. & Georgescu, O. M. (2009). An empirical study on the decoupling movements between corporate bond and CDS spreads. Working Paper Series 1085.

4. Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter?

5. Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP