An analysis of price discovery from panel data models of CDS and equity returns

Author:

Narayan Paresh Kumar,Sharma Susan Sunila,Thuraisamy Kannan Sivananthan

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference30 articles.

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

2. Price discovery and common factor models;Baillie;Journal of Financial Markets,2002

3. The dynamics of Australian dollar bonds with different credit qualities;Batten;International Review of Financial Analysis,2000

4. An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps;Blanco;Journal of Finance,2005

5. How the subprime crisis went global: evidence from bank credit default swap spreads;Eichengreen;Journal of International Money and Finance,2012

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