An Empirical Analysis of the Dynamic Dependences in the European Corporate Credit Markets: Bonds vs. Credit Derivatives-Reference-Cited by-同舟云学术

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An Empirical Analysis of the Dynamic Dependences in the European Corporate Credit Markets: Bonds vs. Credit Derivatives

Published:2010 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Mayordomo Sergio,Peña Juan Ignacio

Publisher

Elsevier BV

Reference41 articles.

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

2. Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005

3. An Empirical Study of the Decoupling Movements between Corporate Bonds and CDS Spreads;I Alexopoulou;European Central Bank,2009

4. Risk Aversion and Risk Premia in the CDS Market;J Amato;BIS Quarterly Review,2005

5. Contagion and Excess Correlation in Credit Default Swaps

Cited by 2 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. Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis;SSRN Electronic Journal;2012

2. Liquidity Commonalities in the Credit Default Swap Market;SSRN Electronic Journal;2012

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