Dynamics and determinants of credit risk discovery: Evidence from CDS and stock markets
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference27 articles.
1. Counterparty risk externality: Centralized versus over-the-counter markets;Acharya;Journal of Economic Theory,2014
2. Insider trading in credit derivatives;Acharya;Journal of Financial Economics,2007
3. Liquidity risk and correlation risk: A clinical study of the General Motors and Ford downgrade of May 2005;Acharya;The Quarterly Journal of Finance,2015
4. Price discovery and common factor models;Baillie;Journal of Financial Markets,2002
5. CreditGrades and the iTraxx CDS index market;Bystrom;Financial Analysts Journal,2006
Cited by 13 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. Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective;Journal of International Financial Markets, Institutions and Money;2024-03
2. Price discovery in carbon exchange traded fund markets;International Review of Financial Analysis;2023-10
3. The Influence of Equity Market Sentiment on Credit Default Swap Markets: Evidence from Wavelet Quantile Regression;Complexity;2023-08-16
4. How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model;Istanbul Journal of Economics / İstanbul İktisat Dergisi;2023-06-08
5. CDS and equity markets’ volatility linkages: lessons from the EMU crisis;Review of Quantitative Finance and Accounting;2023-01-26
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
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3