Intra-Daily Variations in Volatility and Transaction Costs in the Credit Default Swap Market-Reference-Cited by-同舟云学术

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Intra-Daily Variations in Volatility and Transaction Costs in the Credit Default Swap Market

Published:2009 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Fulop Andras,Lescourret Laurence

Publisher

Elsevier BV

Reference59 articles.

1. Insider trading in credit derivatives;Viral V Acharya;Journal of Financial Economics,2007

2. A Theory of intraday patterns: volume and price variability;Anat R Admati;Review of Financial Studies,1988

3. Volatility, efficiency, and trading: evidence from the japanese stock market;Yakov Amihud;Journal of Finance,1991

4. Intraday periodicity and volatility persistence in financial markets;Torben Andersen;Journal of Empirical Finance,1997

5. Has the CDS market lowered the cost of corporate debt;Adam B Ashcraft;Journal of Monetary Economics,2009

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Liquidity Premia in CDS Markets;SSRN Electronic Journal;2017

2. Active risk management and banking stability;Journal of Banking & Finance;2016-11

3. Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets;SSRN Electronic Journal;2015

4. The Transaction Costs of Trading Corporate Credit;SSRN Electronic Journal;2014

5. Managing and trading sovereign risk using credit derivatives and government markets;The Journal of Risk Finance;2013-11-04

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